Heavy skew in March Eurodollars, the EDH 50 wide Risk Reversal is priced at a record -0.06.
Scanning the system this morning you can see that this skew is having a major impact on market structures.
Looking at our March Eurodollar complex here you can see that Call Flys and Condors are offering huge value currently, the EDH 98.00/98.25/98.50 Call Fly highlighted here closed at 2.5 last night.
A 5-year chart shows just how cheap these strategies have become.
Interestingly if you’re looking for premiums to sell then the opposite is true of the Puts structures. This EDH 97.875/97.625/97.375/97.125 Put Condor prices at 10, and has a max payout of 25 between 97.625/97.375.
