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September Quarterly Expiration, Pin Risk

US TSY OPTIONS

September options expire today, latest open interest below.

  • Large overall open interest in 10s and 5s in-line with prior June quarterly expiration, but pin risk has declined somewhat as underlying futures have declined on week. Could see more strike changes on Jackson hole comments or geopol/virus relate headlines for that matter.
  • Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are auto-exercised.
ExpiryCallsPutsTotalNearest ATM Strike (Totals)
Sep 30Y230,686329,114559,800163.50 (3,630C, 6,721P)
164.00 (15,289C, 20,700P)
164.50 (6,689C, 3,295P)
Sep 10Y856,1181,372,4392,228,557133.25 (762C, 26,781P)
133.50 (70,071C, 88,946P)
133.75 (20,300C, 28,858P)
Sep 5Y270,860538,012808,872123.50 (17,085C, 52,598P)
123.75 (11,213C, 33,783P)
124.00 (31,600C, 43,174P)
Sep 2Y1,1419822,123110.12 (0C, 2P)
110.25 (0C, 7P)

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