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Mixed Rates Trade Ahead Of Wednesday Event Risk

OPTIONS

Tuesday's Europe rates / bond options flow included:

  • SFIK4 95.25/95.45/95.65c fly, bought for 3.75 in 20k
  • ERU4 96.625/97.00/97.375c fly vs 96.25p, bought the fly for 6.25 in 5k
  • ERU4 97.00^ vs ERU4 97.50c x4, sold the call at 6 in 2.5k (10k call)
  • ERZ4 97.50/97.25/96.75p ladder, bought for 2 in 7k
  • 2RH4 97.12/97.50cs sold at 34.50 and 34.75 in 12.5k

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