EUROPE SUMMARY: Straddle Selling Ahead Of BoE

A couple of Sep21 straddle sales caught the eye Wednesday ahead of the BoE LU1 100.00^ sold at 21.5 in 20k; then slightly later in the afternoon,LU1 100.00^ v 100.125 call sold at 14 in 20k. The straddle price is a couple of ticks lower than it was last week. We also saw continued Call Condor buying: LZ0 99.75/99.87/100.125/100.25c for 11.25 in 10k (was bought for 11 in 10k on Monday), and also late in the session, some further targeting of negative BoE rates, with LM1 100.125/100.375 1x1.25 call spread bought for 3.25 in 20k (v 99.98, 10d).

Other options trades of note today:

• 0LH1/2LH1 100.12c calendar, bought the mid for flat in 4k
• 2LZ0 99.875/99.75/99.625 put fly bought for 1.5 in 4k
• DUZ0 112.00p, bought for 1.5 in 2.5k to sell DUX0 112.30 c at 5.5 in 1.25k AND
• DUZ0 112.10 put 11.7k bought for 3.5 vs DUX0 112.30 call 11.7k sold at 5.5
• RXX0 175.0/175.5 cs, sold at 14 in 1k
• ERZ0 100.50/100.37ps 1x2, bought for 2 in 4k (ref 100.49, -40 del)