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Oct Eurodollar structure worth checking

  • by George Austin
  • 31st July 201920th August 2019

This looked an interesting trade this afternoon, the EDV (Oct) 78/80 Strangle vs 82 Call, Z-Scores at 2.79 with 72 days to expiry.

Payout looks reasonable as well, positive between 97.751/98.124.

Added for P/L tracking

previousUS 30-year (USU) Vol vs US 5-year (FVU) Vol still looks interesting
nextPost FOMC call skew still holding up – EDZ

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