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EUROPE SUMMARY: Long-Dated Euribor Downside

OPTIONS

The only significant flow today was in Euribor options. The most notable was in long-dated downside: ERM2 100.125/99.875 put spread bought for 1.75 in 15k. This has delta -0.7, and the Jun22 contracts have 657 days to expiry. The underlying was 100.475. We also saw:

  • ERZ0 ERH1 100.50 put strip sold at 9 in 2k
  • ERZ0 100.375 put bought for 1 in 5k (v 100.475)
  • 3RH1 100.25/100.125 1x1.25 put spread v 0RH1 100.25 put, paid 0.25 for the blue in 5k (in lots of 2k then later 3k)
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BulletMarketsFixed Income Bullets

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