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Hawkish ECB Plays Feature

OPTIONS

Thursday's Europe rate/bond options flow included:

  • DUN2 109.10/109.20/109.30/109.40c condor, bought for 2 in 1.5k
  • DUU2 108.00/107.40 1x2 put spread bought for 2 in 5k
  • RXN2 152.00/153.50cs, bought for 14 in ~4.4k
  • RXN2 155.50/157.00cs, bought for 1.5 in 13.5k (short cover)
  • 0RM2 98.37p vs 2RM2 98.12p, sold the 1y at 5 in 3k
  • ERZ2 99.50/99.37/99.25/99.12p condor, sold at 1.75 in 4.75k
  • OEQ2 122/121ps 1x1.5, bought for 7 in 2k

Of note this morning were multiple Euribor options ahead of the ECB meeting, which would have benefited from the ultimately hawkish market reaction to the meeting:

  • ERN2 99.37/99.25/99.15p fly, bought for 1.5 in 8k 36 days to expiry
  • ERQ2 99.375/99.25/99.125 put fly, bought for 1.5 in 15k
  • ERU2 99.50/99.375/99.25p ladder, bought for flat in 2.5k
  • ERU2 99.50/99.375ps vs 99.75c, bought the ps for 2 in 5k

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