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*** Reminder, lead September.....>

US EURODLR OPTIONS: *** Reminder, lead September Eurodollar futures and options
expire Friday (technically, futures and front Sep options expire Mon morning at
6:00 am ET while Red through Purple midcurves expire at 5:00 pm ET Fri). Despite
significant position unwind effort to avoid pin risk last couple weeks, large
amount of open interest remains. Final OI coming into session according to CME
Group Data below:
-- Sep quarterly OI: 3,874,680 (1,540,706 calls, 2,333,974 puts);
-- Sep 1yr midcurve (Red) OI: 2,702,166 (1,352,136 calls, 1,350,030 puts);
-- Sep 2yr midcurve (Green) OI: 2,116,190 (891,830 calls, 1,224,360 puts);
-- Sep 3yr midcurve (Blue) OI: 709,672 (381,150 calls, 328,522 puts);
-- Sep 4yr midcurve (Gold) OI: 53,241 (37,555 calls, 15,686 puts);
That's a total of 9,455,949 options (3,874,680 in fronts, 5,581,269 total
midcurves) coming off the sheets.

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