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September Tsy Option Expiration Roundup

US TSY OPTIONS

September options expire today, latest open interest as of Thu's close below. Decent overall open interest in 5s and 10s with modest pin risk in TYU2 117.5, 117.75 and FVU2 111.25 strikes. Options 0.5 tic ITM (0.25 tic for 5-, 2-yr opt's) are auto-exercised.

ExpiryCallsPutsTotalNearest ATM Strike (Totals)
Sep 30Y189,245214,672403,917137.0 (3,070C, 5,630P)
137.5 (2,159C, 1,267P)
138.0 (8,639C, 7,867P)
Sep 10Y1,106,244948,4272,054,671117.2 (14,828C, 12,476P)
117.5 (12,763C, 34,633P)
117.7 (59,175C, 34,215P)
Sep 5Y429,216393,454822,670111.0 (4,581C, 19,737P)
111.2 (20,759C, 21,462P)
111.5 (34,525C, 12,780P)
Sep 2Y34,72930,84065,569104.2 (22C, 293P)
104.3 (4C, 4,105P)

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