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 the move. Scanning PricingMonkey showed that the 0EV 98.50/98.25/98.00 1x3x2 Put Fly had cheapened to -0.0175 (Z-Score -3.21).
Payout
