Small skew shift Dec Eurodollars cheapening some call structures

Flagged overnight in our system of a potential Call Fly that was worth checking out, seems a more bullish view on Eurodollars yesterday versus last week is again helping cheapening some structure.

Skew on the move

This shift probably explains why the EDZ 97.875/98.125/98.375 Call Fly showed up this morning with a 3-year Z-Score -2.42.

Looks decent value here, especially with EDZ trading at 97.92

Trade added to Booking Keeping for tracking.

Short Bunds, Ouch!