Euribor futures spread spike strangles prop traders

Safe-haven butterfly trades savaged by shock divergence in mid-term contracts

A storm has raged through a slice of the European rates market, leaving some futures traders nursing heavy losses. It has also raised concerns over perceived safe-haven trades such as butterflies, amid rising rates volatility and patchy after-hours liquidity.

On July 24, Euribor futures listed on the European arm of the Intercontinental Exchange (Ice) seemed to defy all logic, as two mid-term contracts diverged to clock their biggest spread move in history. End-of-day price data shows nothing

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: