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Euribor calendar spread test resistance

EURIBOR OPTIONS

Front Sep Euribor continues to trade in decent size, bought in another 5k.

Some of the volume can be attributed to spreads:

  • ERU3/ERV3 has traded 11.6k outright.
  • ERU3/ERZ3 30k.
  • ERU3/ERH4 8.6k.

Focus is on the ERU3/ERZ3 which is testing that decent resistance at 7.5, printed there multiple times in the past 2 months, but has failed to break since July.

Chart source: MNI/Bloomberg

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