Eurodollar Short X 86 Put - Short H 85 Put, a trade idea

midcurve nov19 eurodollar 98.625 put (94 days to expiry) – midcurve mar20 eurodollar 98.50 put (212 days to expiry)

Blotter clip showing the 2 options and greeks

This is a trade we saw being executed yesterday, Short X Puts (94 days, 54 delta) trading versus Short H 85 Puts (212 days, 41 delta), trades for around 0.03. The short duration option trades at a decent premium currently. This might might be worth a look especially if you don’t expect the EDZ0-H1 to widen further or to revert (closed -0.06).

Structure is trading close to 5-year highs

Trade added for tracking

Eurodollar Short X 86 Put – Short H 85 Put – trade idea