Spotted this trade going through is decent size yesterday evening at 3.5 in 25k, closed at 3.75.
We flagged this trade to our followers soon after.
Trade looks cheap Z-Score + on a number of quick tests you can run:
If we end up at the end of August in the same place it should be worth 4.4.
If market moves up to 98.55 then it’ll be around 3.5
A move down to 98.15 would suggest 3.6
A Vol move to 90 would give 2.8
A drop in Vol to 50 = 5.4
A small drift and lower vol to the end summer = 5.25
Obviously these sorts of trades (long expiries) can be pretty sleepy, but when you have ABN hitting the market for decent size, they are certainly worth second look.