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Vol Trades Post-ECB

OPTIONS

Thursday's Europe rates/bond options flow included:

  • Before ECB:
    • ERM4 100.25c, bought for 4 in 5k
    • RXK3 131/128 ps with RXM3 128/125 ps vs RXJ3 137/140 cs, bought the put spread strip for 4 in 8k (ref 136.00, 40% del)
  • After ECB:
    • ERU3 96.00/97.50 strangle bought for 38 in 13.5k
    • ERU3 96.875^ sold at 93 & 92 in 10k
    • ERU3 96.62^, sold at 90.0 in 9k

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