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Short Sterling Option Comment **27/01**

Nothing much here today as Euribor took centre stage. The futures are relatively unchanged and so is vol.

A decent buyer of a wonky fly put fly in mid march on first look seems good value but on an aggressive move downwards i guess the delta turns positive pretty quickly. Paper turned to the 99.00 strike for expiry in June today after looking at the 99.125 middle yesterday. The 99.125 middle still looks like the winner to me but having seen paper pay 2.5 for it first thing yesterday I'm now struggling to find a 3 offer although i'm told it is close to being offered there.

13:03 0LG1 +14k 98.125/98/97.75 Put FLY for 1
12:31 L M1 +5k 98.875/99/99.125 Call FLY for 2.5
11:27 L H1 +2.5k 99.25 Call for 0.5
08:24 0LH1 -4k 97.875/97.625 Put SPREAD @ 3
08:24 L H1 -5k 99.125/99 Put SPREAD @ 1.5

DS