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Downside structures

EURIBOR OPTIONS
  • ERH3 100.12/99.87/99.62p fly (ref 100.14 d10), bought for 3 in 2k
  • ERZ2 100.25/100.99.75p fly, bought for 3 in 4k straight and 4k (ref 100.30, 10 del), 8k total
  • This has been bought for ~20k in the past 2 sessions.

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