A lot of talk in Chicago of the current skew in Eurodollars being at a record, it certainly shows up in our synthetic charts as being at extremes.
One of the trades we saw today which caught our interest was the Front Sept 97.50/97.625/97.75 Call Tree. This is in the money (8 ticks currently) and trading at 1.5.
As you can see from the middle chart it takes full advantage of the skew, buying the cheap 97.50’s to sell 97.625’s & 97.75’s, 8 and 12 BPs of Vol difference.
