OPTIONS: Large Euribor Upside, Closing Sonia Call Condor Position Wednesday
Aug-27 16:52
Wednesday's Europe rates/bond options flow included:
- RXV5 128/127ps 1x1.5, bought for 18.5 in 4k
- ERH6 98.18/98.00ps, sold at 10.5 in 3.75k
- ERZ6 99.00/99.50cs, bought for 2 in 28k
- SFIZ5 96.10/96.25/96.40/96.55c condor, sold at 4.5 in 11k total now (closing)
- SFIH6 96.40/96.50cs vs 96.00p, bought the cs for 0.25 in 3.5k total
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US TSYS/SUPPLY: WI 5Y
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The 5Y WI has retreated to 3.973% from 3.981% earlier, 9.4bp cheap to last month's tail: 3.879% high yield vs. 3.872% WI.
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