US TSY OPTIONS: March'25 Options Expiration Details: 10Y Pin-Risk
Feb-21 13:18
March'25 Treasury options expire today, latest open interest as of Thursday's close below. Large open interest in 10s with decent pin risk in the TYH5 109 and 109.25 strikes. Options that are 0.5 tic in-the-money (0.25 tic for 5-, 2-yr opt's) are auto-exercised. Underlying futures are mildly firmer this morning, near middle of the overnight range on heavy volumes tied to Mar/Jun quarterly roll. Focus on this morning's S&P flash PMI and University of Michigan sentiment data.
| Expiry | Total Calls | Total Puts | Total | Nearest ATM Strike (Total C/P) |
| Mar 30Y | 228,834 | 102,487 | 331,321 | 114.50 (5,048C / 7,502P; 12,550 total) |
| 115.00 (10,136C / 9,544P; 19,680 total) | ||||
| 115.50 (6,902C / 4,054P; 10,956 total) | ||||
| Mar 10Y | 1,307,660 | 618,725 | 1,926,385 | 108.75 (27,247C / 45,142P; 72,389 total) |
| 109.0 (95,826C / 82,038P; 177,864 total) | ||||
| 109.25 (47,600C / 28,921P; 76,521 total) | ||||
| Mar 5Y | 408,063 | 319,357 | 727,420 | 106.25 (22,743C / 26,460P; 49,203 total) |
| 106.50 (38,356C / 28,399P; 66,755 total) | ||||
| 106.75 (21,225C / 5,244P; 26,469 total) | ||||
| Mar 2Y | 89,802 | 81,149 | 170,951 | 102.62 (3,094C / 10,157P; 13,251 total) |
| 102.75 (10,342C / 8,065P; 18,407 total) | ||||
| 102.87 (13,119C, 2,951P; 16,070 total) |
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PIPELINE: Corporate Bond Issuance Update: Penske, PNC Join List
Jan-22 13:14
- Date $MM Issuer (Priced *, Launch #)
- 01/22 $500M FMO +3Y +35
- 01/22 $Benchmark Penske 5Y +110a
- 01/22 $Benchmark KDB 3Y SOFR+58a, 5Y SOFR+77a
- 01/22 $Benchmark PNC Financial 6NC5 +100a, 11NC10 +150a
EQUITIES: EU Bank put spread
Jan-22 13:10
SX5E (21st Feb) 155/145ps, bought for 1.65 in 10k.
STIR: Repo Reference Rates
Jan-22 13:05
- Secured Overnight Financing Rate (SOFR): 4.29% (+0.00), volume: $2.361T
- Broad General Collateral Rate (BGCR): 4.27% (+0.00), volume: $894B
- Tri-Party General Collateral Rate (TGCR): 4.27% (+0.00), volume: $875B
- (rate, volume levels reflect prior session)
