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December call fly is building up

EURIBOR OPTIONS
  • Regarding the ERZ2 fly, this started to be bought after the TLTRO Announcement, and the position is building, again covers plenty of events with expiry on the 19th Dec.
  • Today so far: ERZ2 97.87/98.00/98.12c fly bought for 2.5 in 35k.
  • Recall yesterday: ERZ2 97.87/98.00/98.12c fly, bought for 2.5 in 16k.
  • And on the 18th Nov: ERZ2 97.87/98.00/98.12c fly, bought for 2.25 up to 2.75 in over 30k.

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