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, as we highlighted yesterday the huge drop in out of the money Call vol relative to ATM, is causing a seismic shift in structure pricing.
The EDU 98.00/98.25/98.50/98.75 Call Condor highlighted here, look poor value from the buy side.
Oct Eurodollars check out the Puts
The EDV 98.125/97.875/97.625 1x3x2 Put Fly with a Z-Score (1-Year) is worth a look.
A 10-Year history gives shows you this hasn’t been at this price since 2012.
Dummy trades booked for tracking in our system.
