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EUROPE SUMMARY: Short-Sterling Upside On No Deal Downside

OPTIONS

Main flow of this risk-off session was in Short-Sterling, with structures aiming at upside. This comes as UK rate cut expectations grow, with a 'no-deal' Brexit scenario at the start of 2021 coming back into focus. Such trades included:

  • LM1 99.62/99.75/99.875c ladder, bought the 1 for -2.25/-2/-1.75 in 25k
  • LH1 100.12/100.37cs, bought for 2.5 in 4k total
  • LH1 100.25/50cs vs 0LH1 99.50p, bought the front for 0.25 in 3.5k

Other options flow included:

  • 0RU0 100.50p, bought for half in 6k
  • ERH1 100.50/100.62cs vs 3RH1 100.50/100.62cs, bought the front for flat once again. (6k all day)

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