EUROPE SUMMARY: BoE Special

Recent upside plays in Short-Sterling that we have seen traded lately were vindicated Thursday as the BoE meeting produced rising expectations of a rate cut by early 2021. Prior to the meeting, longs continued to pile on, including LM1 100.12/100.375cs 1x1.25, bought for 3.25 in 10k (looking for a 1st half of 2021 rate cut). Following the meeting, there was plenty of trade, including LH1 100.25/100.50cs, bought for 1.25 in 20k (looking for rate cut in 1st Quarter), and LG1 100.12/99.87 RR with 100.12/100.25cs 1x1.5, bought for 3.75 in 30k. Not to mention strangle/straddle sellers: LG1 100^ sold at 13 in 2.5k and LG1 100.00/100.125^^ sold at 9 in 5k

Short-Sterling options Pre-BoE decision included:

• LM1 99.75/99.87/100c fly, sold at 4.5 in 1.5k
• LU1 100^, sold at 20.5 in 1.5k
• LH1 100.12/100.25/100.37c fly with 99.87/99.75/99.62p fly, bought for 2.25 in 5.2k total
• LG1 100.00/100.125^^ sold at 9 in 5k

Post-BoE decision:

• 0LX0 100.25/100.37cs, sold at 1.25 in 10k
• LH1 99.875/100.00/100.125/100.25 call condor with 0LZ0 100.00/100.125 callspread bought for 12.25 in 10k
• LH1 100.25/100.50 call spread bought for 1.25 in 20k