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In a very strong day for core fixed income, the only EGB flow of note involved profit taking: RXU0 180/182 call spread sold at 5.5 in 2.5k. (these were bought for 4 a week ago). Apart from that, we saw vol selling in short selling via par straddles.Euribor option flow included:
- ERZ0 100.50c, bought for 2.25 in 3k (Ref: 100.45)
- 0RZ0 100.50c, bought for 5.5 in 5k (ref 100.505)
- LZ0 99.87/99.75ps vs LV0 99.87/99.75ps, bought the Dec for 1 in 4k
- 2LU0 100^ sold at 10.5 in 2.25k
- 0LQ0 100^, sold at 5.75 in 1k (ref 100.02)
- LH1 100.00/100.25 c/s sold at 4.75 in 5k