I have been informed that 1 year ATM option strikes were paid up to 7.95 pct during the London morning. The 1 year is currently 7.8/8.0, having plumbed a lifetime low of 7.45/7.65 seven days ago (Oct 4).
Front-dated vols were also bought up from the European open but have subsequently given up those gains. The 1mth is now 7.05 pct offered, having been bid at that level earlier. The 1 week has also gone 7.1 pct bid-to-offered.
One of yesterday's trade highlights was a 2 year 1.1700 EUR put option, containing a 1.2800 exotic barrier, which reportedly went through in an estimated E1.5bn. 9mth 25 delta strangles are also said to have traded at 7.85/7.9 pct in E400mn a leg yesterday.
Expiry-wise: the size of the 1.2550 strike rolling off at today's 10am EST NY cut is estimated at E500mn. The size of today's 1.2500 expiry is estimated at E300mn.
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