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 to yield the most value on our synthetic Z-Score model.
Being cheapskates we like the look of the 0EU 98.50/98.25/98.00 1x3x2 Put Fly (A Xmas Tree) for close to zero. On a 3-Year chart, it Z-Scores at sub -3.
As long as you’re not too bearish here this trade looks decent value.
The final trade of June … booked.
