With over million contracts now open in the Dec20 Calls above the 99.00 strike (495 Days to expiry), and seemingly a continuous flow of Calls spreads with a 99 handle, we’re starting to see some unusual skew profiles.
Looking for strategies that sell the 99.25 Calls. The EDZ0 98.875/99.25/99.625 Call Fly looks cheap, + would benefit from any fall in Vol or skew normalization.
Payout looks pretty decent as well, with breakeven between 98.90 & 99.60.
A more aggressive bullish trade would be to sell the EDZ0 99.25/99/625 1×3 Call Spread which is priced around 0.01.
Trades booked for tracking.
