Wave of Expiring Treasury Options Adds Risk to Jackson Hole
- Over 60% of outstanding 10-year options expire on Friday
- Overall positioning leans neutral, with hedges for volatility
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A flood of Treasury options set to expire Friday may dictate the bond market’s reaction to Federal Reserve Chair Jerome Powell’s long-awaited speech on the economic outlook.
More than 2 million options in the September 10-year contract, which is 63% of total options open interest in Treasuries, expire by the end of trading Friday, raising the prospect for volatility in the wake of Powell’s remarks scheduled to start at 10 a.m. New York time.