Friday, 23 August, 2019
BUND reminder of the large COMBO position:
long 25,000 175 P
long 25,000 174.50 P
long 12,500 174 P
short 25,000 176 C
short 25,000 176.50 C
short 12,500 177 C
with the futures edging lower we are nearing the area i’d expect to see this liquidated…
we have previously seen this account buy back their calls first and then move to sell their P which usually swings vol around presenting opportunity. they have also liquidated their position entirely before also.
mkt mkrs whilst net short vol from the trades initiation are not so short with the 20,000+ straddles given this week
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