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Euribor option comment.. **12/01**A quiet day...

A very quiet day in the Euribor option world although I'm told that it was an absolute 'quote fest' by the market makers so paper are obviously keen to get involved but perhaps not at these levels. Maybe there are a lot of fustrated p/s buyers out there after todays agressive down move. There was a large buyer of sep call flys in the afternoon, with so much time value though you do wonder whether you'll have a few more goes at buying this one at 2. However with liquidity measures finishing in june capping upside in this contract bying the fly may well be the best/cheapest way of owning the 98.875 calls. Vols are generally softer in the whites and reds with only mid-curves holding in relatively unchanged.


16:45 ERU1 +15k 98.875/99/99.125 Call FLY for 2
16:00 ERZ1 +1k 98.5 STRADDLE for 50
11:10 ERU1 +5k 98.5/98.25/98 Put LADDER for 0
10:38 ERM1 -12.5k 98.875 Call @ 6.5
07:31 ERH1 +1k 98.875/98.75 Put SPREAD for 1.5 vs 98.955 Was also bought yesterday at same price.

DS