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I've had them indoors, three now on separate occasions, there must be a nest somewhere. Quite frightening, they are very loud, and having cats have to get to them first in case they get stung, one cat very keen on insect hunting. The first two had to be murdered with a broom as we couldn't reach them otherwise, the ceilings are so high, but the last one obligingly flew into the table light and we managed to catch it with the jam jar and card method and get it outside.
I posted about this and was told about the pheremone thing, but luckly it didn't seem to work.
It's a pain to have to keep the windows shut at night when the lights are on.
Hope you don't get any more
Sue