Harry Redknapp is the favourite for the post and a number of managers have voiced their support for his candidacy.
“You can’t believe [I’ve been sent a letter], can you?” said Ferguson.
Asked why he had received the warning, he said: “I’ve absolutely no idea. I’m not supposed to discuss it.”
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Chelsea have struggled to build momentum in the opening stages of the campaign and are currently looking over their shoulders at the relegation zone.
Who of Europe’s top strikers will move to England this summer?