Euribor Option Comment **26/01**
Nothing to see here I'm afraid, a very uneventful day all around. Vols a touch
firmer as we go down the curve on the move lower.
15:53 ERU1 +4k 98.5/98.625/98.75/98.875 Call CONDOR for 3.5
15:53 ERU1 +2.5k 98.5 STRADDLE for 38 Vs ERH1 -2.5k 98.875 STRADDLE @ 10
13:01 ERZ1 +7k 98.25 Call for 25.5/26
10:27 ERU1 +3.75k 98.5 STRADDLE for 38
The only thing of note from our own accounts was a little bit of bottom picking
in reds and mid-curves as we looked to get long outright 98.25 calls and
98.25/98.50 call spreads in march mid curve earlier. We paid 5 for the calls vs
98.015, and 4.5 for c/s vs 98.03.....
DS
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