One of my sources informed me that the 6-mth 25 delta risk reversal traded at 0.35 pct for EUR calls in upwards of a quarter-yard a leg earlier today. The 9-mth 25 delta R/R is additionally tipped to have traded at 0.375 pct for EUR calls earlier today.
At the front of the curve: the 1-mth 25 delta R/R is 0.0/0.2 EUR calls over last, having reportedly traded at 0.1 pct for EUR calls in fair size yesterday. A week ago, the 1-mth R/R was 0.35 pct bid for EUR calls. In late November, it was bid as high as 0.8 pct for EUR calls.
No comments:
Post a Comment