The initial skew move we flagged a couple days ago seems to have really gained momentum with a huge shift yesterday possibly suggesting the current move has run it’s course for a few days.
Skew shapes/moves provide great opportunities for RV option trades, this move in Mar Skew for example has pushed the Mar Eurodollar 98.25/98.125/98.00/97.875 Put Condor to multi year lows in the last 24 hours.
Only has a small payout of 0.125, but for around 0.015 ticks risk for 284 days, looks potential reasonable value.
Tip – we use generic blotters to quickly monitor and follow trades, example below, these can be easily created for any options products that you follow:
