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Friday, February 16, 2007
FX OPTIONS: EUR/USD 1-Year ATM versus 10 Delta EUR Put Spread
One of my sources have informed that at a 1-year ATM option was spread traded against a 1-year 10 delta EUR put option at 0.465 pct for the lower strike in an estimated E1.2bn by vega neutral amount earlier today. The 1-year is currently 6.3/6.5, having traded at an all-time low of 6.375 pct earlier this week (Tuesday).
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