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Calendar spread remains active

EURIBOR
  • Euribor calendar spreads continue to be active, but are seeing selling now, after trading higher during the morning European session.
  • ERU3/ERZ3 has traded 34.8k spread outright, and is 6.5 offered after failing to break the 7.5 resistance.
  • Given the oversize volumes in the front Sep, it is more than likely that more spreads have traded on legs.
  • ERU3/ERH4 has also faded, and has traded ~12k outright.
  • ERZ3/ERH4 traded in ~16k, fading lower.
  • ERZ3/ERZ4 in 20.3k, also sellers there.
  • ERH4/ERM4 ticks lower and has traded in 17k.

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