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Euribor Call Structures Feature

OPTIONS

Thursday's Europe rates/bond options flow included:

  • OEU2 125.50/124.00ps bought for 35 in 6k vs ~2k at 125.72
  • ERZ2 98.50/98.375/98.25/98.125p condor, bought for 1.5 in 12k
  • ERZ2 99.00/99.125/99.50 broken call ladder 1x1x0.5, sold at 2.5 in 10k (closing)
  • ERM3 99.00/99.12/99.87c ladder with ERU3 98.87/99.12/99.75c ladder sold the strip at 1 in 2k
  • ERM3/ERU3 98.75/99.00/99.25c fly strip sold at 3.75 in 16k
  • 0RU2 98.62/98.75cs bought for 1.75 in 15k
  • SFIU2 97.50/97.60/97.70c fly, bought for 1.75 in 5k

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