We have been told that 1.3350 option strikes were sold for 3-mth and 6-mth expiry dates earlier today. The 3-mth strike reportedly traded at 6.8 pct, with the 6-mth strike going through at 6.7 pct in over a third-of-a-yard.
The above-mentioned topside strike selling has helped weigh on implied volatilities. The 3-mth is 6.4/6.6 last. The 3-mth 25 delta risk reversal is currently 0.2/0.35 EUR calls over.
No comments:
Post a Comment