Jan 30…quick TY option open interest note

Yesterday the TYH 120.5 were sold in size; ended up settling 9 vs 121-26.  According to prelim open int sheets, 40k added yesterday…new shorts.  This is now largest TYH put open interest at 114k, outside of 122p with 145k.  Not much vs 3.5 million futures but worth a mention…

With TYH 121-23+ and GT10 270.7%, the 120.5 strike is about 16 bps away, or 2.87.  The high ten year yield in 2014 was 3.03%.  In TYH, that should equate to around 119-30…

Posted on January 30, 2018 at 7:54 am by alexmanzara · Permalink
In: Eurodollar Options

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