OPTIONS: Large Euribor Call Structures Continue To Stand Out
Feb-11 17:52
Wednesday's Europe rates/bond options flow included:
- ERM6 97.87/97.93/98.06c fly, bought for 2.5 in 10k
- ERU6 98.12/98.18cs v 97.93/97.87ps, bought the cs for half in 40k total
- ERZ6 99.00 calls paper paid 0.75 vs. 98.045 on 10K
- ERZ6 98.50/99.00 call spread in 16.5k vs ERZ6 97.8125 put in 5.5k, paper buys the call spread for zero net cost
- ERZ6 97.9375/97.875/97.8125p fly, bought for 0.75 in 4k
- ERZ6 98.12/98.43/98.50/98.81 call condor vs. 98.00/98.12/98.18/98.31 call condor 31.5K given at 2.5/2.25. Reminder that 28.5K was given at 2.5 Tuesday
- ERH7 98.25/98.50/98.875c fly, bought for 1.75 in 5k
- SFIM6 96.75c, bought for 2 in 15k
- SFIZ6 96.80/96.85/96.90/96.95 call condor, bought for 0.25 in +10k
- SFIM7 98.00 call, paper paid 2 in 15k
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US TSYS/SUPPLY: WI 10Y Re-Open
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