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SONIA And Long-Dated Euribor Downside Feature

OPTIONS

Friday's European rates / bond options flow included:

  • OEZ1 135.25/135.50/135.75c ladder, bought for 5 in 1k
  • RXZ1 171.5/173.5cs vs 169.5/167.5ps, bought the ps for half in 2k
  • 3RF2 99.75/99.50ps, bought for 1.5 in 3k
  • 3RH2 99.62/99.37ps , bought for 1.5 in 3k
  • SFIZ1 99.80/99.85/99.90c fly, bought for 1 in 2.5k
  • SF1H2 99.75/99.80/99.85/99.90c condor, bought for 1 in 3k
  • SFIG2 with SFIH2 99.60/99.50/99.40/99.30p condor strip, bought for 4in 1k
  • 2LZ1 99.25/99.37cs 1x2, bought for half in 5k
  • 3LZ1 99.25/99.00ps, sold at 18 in 10k

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