Post FOMC call skew still holding up – EDZ

Dec Eurodollars down tick and call skew goes more bid.

Blue line last nights close, orange 24th July

The move seems to be cheapening the Flys and Condors – bodies are outperforming wings.

The EDZ 97.875/98.125/98.375 1x3x2 Call Fly and the EDZ 97.875/98.00/98.125/98.25 Call Condor stand out as decent value. 137 days to expiry.

This has the best Z-Score over 3 years
Not as cheap as the Call Fly so maybe one to watch this week

Trades booked for tracking.