We have been told that a 1.2480 EUR put option traded at 6.0 pct in an estimated E250mn during the London morning. The strike has been set just south of the 12-week low of 1.2484 plumbed on October 13. There are also reports of earlier interest for 3mth 20 delta EUR puts - to follow prior downside strike demand yesterday.
3mth 1.2400 EUR puts were reportedly paid at 6.6 pct in an estimated E250mn yesterday, with 3mth 1.2250 EUR puts traded at 6.75 pct in an estimated E150mn. The above-mentioned EUR put interest is helping the 3mth 25 delta risk reversal maintain a downside strike premium. 0.05/0.15 EUR puts over is the current market.
3mth ATM strikes are additionally tipped to have traded at 6.45 pct in an estimated E250mn yesterday. The 3mth is 6.4/6.5 last. Expiry-wise: the size of the 1.2550 strike rolling off at today's 10am EST NY cut is estimated at E400mn.
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