EDZ9 25 Delta Risk Reversal (synthetic 119 days to expiry)
This seems to have slipped by without much notice last week, a skew move in Dec Eurodollars Options that’s pushed the 25 delta Risk Reversal (Combo, Squash, Risky) to levels not seen since 2007.
This move on the week seems to have been the key.
14 year history
