Discounted Put skew might be interesting if you looking to sell vol here, assuming you’re bullish/neutral at these levels. For example the EDZ 98.00/97.75 Put Spread looks rich (3-Year, Z-Score 2.80) as the 97.75 Puts are priced over 6bp Vol discount to the ATM 98.00 Puts (Friday close).
The EDZ 98.00/97.75 Put Spread closed at 10.5 on Friday, a synthetic 3-Year history clearly shows is currently lack of value.
Trade booked into our book keeping system.
