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EUROPE SUMMARY: Return Of The Sterling P/S Buyer

OPTIONS

As befits some of the bigger trades of the week, we saw the same familiar themes in Short Sterling for the most part Friday. We had the return of the put spread buyer, LU1 99.875/99.625ps, bought for 3 in 20k (ref 100.04) - that's 260k total in the past few days. That higher strike came into play earlier with a large straddle seller, LU1 99.875^ vs 100.12c sold at 15.5 in 12k (ref 100.125), a structure done in close to 77k this week. Late in the session, we saw targeting of cuts by March 2021: LM1 100.375 calls v LZ0 100.00 calls, buying the March paying up to 0.75 in 50k.

Other options flow included:

  • IKZ0 146/141.50ps vs 148.5/150.50cs, bought for 4 in 1k
  • ERZ0 100.625 call bought for 0.75 in 25k
  • ERZ0 100.50/100.375/100.25p fly, bought for 1.75 in 2k
  • 0RZ0 100.50/100.625 call spread bought for 5.5 in 10k (v 100.55)
  • 0RZ0 + 0RH1 100.625 call strip bought for 5.25 in 2.5k
  • ERM1 100.50/100.625^^ sold at 7.25 in 1k
  • LZ0 99.75/99.87/100.00/100.12c condor, bought for 10.5 in 3k

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