Another Skew shift on Friday – seems the Eurodollar market is pretty unconvinced of further weakness in Eurodollars after Fridays, strong data and market selloff. The last time the Eurodollar skew flipped was a couple of weeks ago when the market decided that the rally was done for the time being.
Note that the skew range (steepness) here is much more shallow than we saw on the shift a couple of weeks ago, where it really caused distortion in a number structures. Z-Scores all approx. in the -2/+2 range, with Vol. still high.
