EURIBOR:

FRONTS: remain offered following on from last weeks flow with the ERH0 100.50^ sold 11.5 vs 100.54 24%d.

Basis Point Vol since June’s spike has come in softer by the best part of 5.5-6 BP’s and I think will still come in a little more, although not back to its recent lows as the ECB keeps the market on tender hooks!

 

REDS: Offered in early trade. Continued seller on OFF STRIKE straddles. ERZ0 100.75^ sold at 25.5 in 500 (20k sold since last week) and ERM1 100.62^ sold another 1k at 26 (5k sold since last week).

We’ve also seen buying 1×2 PS all softening reds (ERM1 100.37/100.00 1X2 PS PAID 3.75 2.5K & ERU0 100.37/25 1X2 PS paid flats the 1 leg 4k).

ERM1 100.50^ 24-25… looks good value with JUST THE 685 DAYS LEFT ON THE CLOCK!!…We buy that value, paid 25 1k and market bid over close of session.

 

BUND:

RXU9 has seen 2 way interest. RXU9 170P paid 2-3 7.5k (covering short leg of 171-170 P/S) & RXU9 172.50/176.50 strangle paid 26 1k, ALLOWING us to sell the RXU9 174.50^ at 139… WE THEN saw the RXU9^ massacred on the screen, sold from 138-132 in 2,000 (3.8%-3.6%) as OFF EXCHANGE TRADE saw 20,000 of the 174.50C sold at 64 vs 174.48. A new short we think, seeing ppr short 45,000 of the 174.50 strike and 25,000 of the 174 strike…

 

SEP bund closed the session out on its low, with the straddle running 10 lower on the session and Imp Vol back into interesting 3.5% mid.

 

BUND: OTHER TRADE OF INTEREST , RXU9 172P skew sold into via SEP 173.50/172 1×2 ps, paid 15 6k x 12k..PPR long 50,000+ of the 172 strike, and as I’d suggested, worth looking at the RXU9 173/172/171 put ladder fading skew and recent vol.. (And just in case the combo player rolls their long put.)

 

 

 

 

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