2y midcurve dec19 eurodollar 98.75 straddle (EDZ1@ 98.72 with 122 days to expiry)
Just looking at this Green Z 87 straddle that was trading late yesterday at .38. Running it through our Performance function to see how this has performed over the last 10 years, shows that this 122 days to expiry, 3 cents from the strike 2 year midcurve has returned .73 cent net of premiums.
Trade booked in review
