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

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