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*** Reminder, November serial ops....>

US TSY OPTIONS
US TSY OPTIONS: *** Reminder, November serial ops expire Friday. Of the
substantial number of options coming off the sheets there is decent pin risk
around TYZ 130 strike at moment. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr
opt's) auto-exercised. According to CME Group data:
*             Calls      Puts      Total   Nearest-the-Money Strike Totals
* Nov 30yr   223,539   363,955    587,494  160.00 w/ 17,138 (5,220c, 11,918P)
*                                          160.50 w/ 18,379 (7,039c, 11,340P)
*                                          161.00 w/ 14,626 (7,458c, 7,168P)
* Nov 10yr 1,055,368   962,617  2,017,985  129.75 w/ 39,909 (11,340c, 28,569p)
*                                          130.00 w/ 124,964 (53,164c, 71,800p)
*                                          130.25 w/ 33,216 (13,286c, 19,930P)
* Nov 5yr    401,745   647,185  1,048,930  118.75 w/ 39,706 (7,756c, 31,950p)
*                                          119.00 w/ 49,263 (28,662c, 20,601p)
*                                          119.25 w/ 84,162 (34,116c, 50,046p)
* Nov 2yr     78,869    84,342    163,211  107.50 w/ 13,708 (1,843c, 11,865p)
*                                          107.62 w/ 14,427 (2,741c, 11,686p)

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