*** September options expire.........>

US TSY OPTIONS: *** September options expire today, latest open interest as of

Thursday's close below. A lot of options going off the board, but pin risk not

that high in the nearest at-the-money strikes across the curve. Options 0.5 tic

ITM (0.25 tic for 5-, 2-yr opt's) are auto-exercised.

*            Calls       Puts      Total  Nearest-the-Money Strike Totals

* Sep 30yr  255,414    333,899    589,313  156.00 w/ 16,518 (11,067c, 5,451p)

*                                          156.50 w/ 9,759 (4,462c, 5,297P)

* Sep 10yr  950,950  1,150,173  2,101,123  126.50 w/ 114,684 (65,865c, 48,819p)

*                                          126.75 w/ 38,104 (25,177c, 12,927p)

*                                          127.00 w/ 109,357 (97,957c, 11,400p)

* Sep 5yr   194,838    745,647    940,485  118.25 w/ 54,225 (35,104c, 19,121p)

*                                          118.50 w/ 46,230 (20,235c, 25,995p)

*                                          118.75 w/ 25,050 (22,717c, 2,333p)

* Sep 2yr    27,333     12,648     39,131  108.12 w/ 6,745 (1,303c, 5,442p)

*                                          108.25 w/ 5,520 (3,513c, 2,007p)