Had to go out to the Midcurves to find anything of real interest on Friday. The Sep MIdcurve Put structures (75 days to expiry) seemed… Read More »June’s last one…
A quick market scan looking for trades that look adrift. Sept Eurodollars Calls structures are all showing high on Z-Score and low on Max Leverage,… Read More »Rich/Cheap Thursday
Big shift over the week in Eurodollar skew causing a number of structures to be totally upended. For example, check this EDU ATM Call Tree(+1… Read More »Huge shift in Eurodollar skew
With July 4th next week and TY Vol (Aug) around recent highs, plus sitting close to 2% in 10y Note (generic) , we look at… Read More »Fading TY Vol into July 4th
If you’re expecting the market to consolidate or rally here, and you’re are keen to sell Vol, check out the EDX 81/78/76/73 Put Condor trading… Read More »Keen to sell Vol….
After yesterdays FOMC we saw a decent flattening of the skew curve. 25 Out Puts (98.25 Puts today) seemed to be the main benefactor of… Read More »More Christmas Trees
Have been noticing recently that a Call/Put Trees have been starting to run cheap, this is mainly down the emerging shape of the various contract… Read More »Cheap Christmas Trees
Bunds and US 10 yrs (TY) yields seem to be in sync as German rates push negative, not sure what the trade is, but something… Read More »US 10 yr(TY) and Bunds in Sync