US TSY OPTIONS: June Tsy Option Expiration Roundup
As noted in the Jun/Sep roll bullet - June Treasury options expire today, latest open interest as of Thursday's close outlined below. Current pin risk in the TYM5 110 strike - moderate total open interest. Options that are 0.5 tic in-the-money (0.25 tic for 5- & 2Y option) are auto-exercised. Underlying futures are firmer this morning, off early London highs on decent volumes tied to Jun/Sep quarterly roll.
| Expiry | Total Calls | Total Puts | Total | Nearest ATM Strike (Total C/P) |
| Jun 30Y | 304,015 | 282,607 | 586,622 | 111.0 (3,387C, 8,439P; 11,826 total) |
| 111.5 (3,403C, 2,335P; 5,738 total) | ||||
| 112.0 (4,551C, 8,102P; 12,653 total) | ||||
| Jun 10Y | 1,162,175 | 1,185,795 | 2,347,970 | 109.7 (16,232C, 37,361P; 53,593 total) |
| 110.0 (38,519C, 68,621P; 107,140 total) | ||||
| 110.2 (18,191C, 15,597P; 33,788 total) | ||||
| Jun 5Y | 566,822 | 333,920 | 900,742 | 107.5 (16,258C, 38,624P; 54,882 total) |
| 107.7 (20,158C, 12,896P; 33,054 total) | ||||
| 108.0 (25,026C, 43,869P; 46,181 total) | ||||
| Jun 2Y | 149,943 | 152,536 | 302,479 | 103.1 (1,177C, 7,922P; 9,099 total) |
| 103.2 (1,490C, 22,419P; 23,909 total) | ||||
| 103.3 (9,342C, 21,097P; 30,439 total) |
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GILTS: Seeing some upside traction
- Gilt is seeing further upside traction, the initial move happened on the Open, as the DMO revised its gilt remit surprisingly lower, this was followed by a quite poor set of Prelim PMIs.
- The pure next Technical level comes at 93.44 76.4% retracement of the Apr 7-9 sell-off.
But looking at Yield terms, next supports are seen at:
- 4.460% = 93.39.
- 4.363% = 94.27 (April and 2025 low).
(Chart source: MNI/Bloomberg).
US TSY FUTURES: BLOCK: Jun'25 5Y Buy
- +6,500 FVM5 108-10.5, buy through 108-10.25 post time offer at 0653:38ET, DV01 $266,000. The 5Y contract trades 111-05 last
EU-BOND AUCTION PREVIEW: On offer next week
The EU has announced it will be looking to sell the following at its auction next Monday, April 28:
- Up to E2.5bln of the 2.875% Oct-29 EU-bond (ISIN: EU000A3L1CN4)
- Up to E2.0bln of the 3.00% Dec-34 EU-bond (ISIN: EU000A3K4ES4)
- Up to E1.5bln of the 3.375% Oct-38 EU-bond (ISIN: EU000A3K4D74)
This is the first EU-bond triple tranche auction (as expected), as the EU continues to mature as an issuer. Every EU-bond auction preceding this since September 2022 has been a dual-line auction.
