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EUROPE SUMMARY: Closing Positions

OPTIONS

Multiple closings of positions seen today. This included Euribor - ERZ0/3RZ0 100.50/100.625 c/s calendar sold at flat in 5k (sold the ERZ0). It also included Bund, RXX0 174.00/175.50/177 1x3x2 call fly sold at 29 in 1.5k - taking profit. We also had Bobl liquidation: OEX0 135.25/134.75/134.25p fly sold at 15 in 750, and OEX0 135/134.50/134.00p fly, sold at 8.5 in 1k.

Most impressive on the day though was DUZ0 112.30/112.50cs, sold at 4.5 in 47k - a large unwind of the c/s portion of a 3-way structure that included selling the 112.10 put. Other options flow today included:

  • RXZ0 174/175.50/177 & 174.50/176/177.5 1X3X2 call fly strip, paid -0.5 in 1k/3k/2k
  • IKZ0 146/141.50 put spread vs 148.50/150.5 call spread, sold at 4 in 1k (sold the c/s)
  • LZ0 100.00/100.25cs, sold at 0.5 in 2.5k
  • 2LH1 99.75/99.625ps, bought for 1.75 in 4k
  • LM1 100.125 call sold at 4.75 in 13k
  • LH1 99.875/100.00 ^^ bought for 7 in 4.5k
  • LZ1 100.25/100.50 + 100.375/100.625 c/s strip bought for 5.75 in 4.5k and 6 in 4k
  • 0LH1 100.125/100.00 1x2 put spread, sells the 2 at 0.5 in 9.5k

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