With Eurodollar skew continuing to edge interestingly more extreme (the EDZ 50 wide Risk Reversal closed at -0.035 Friday, the low since August 7th 2007 when it hit -0.066), many structures are under pressure. These couple of 1x3x2 Flys are a good example, both closing negative Friday.
EDZ 98.375/98.125/97.875 1x3x2 put fly
This closed at -0.026 Friday, Z‑Score-3.87 (3-Years), pays out above 98.00.
EDZ 98.125/98.375/98.625 1x3x2 call fly
In the Calls this one looks cheap, closed -0.017 Friday, Z-Score -3.78. A variation of this is the EDZ 98.25/98.50/98.75 1x3x2 call fly which settled at -0.014, Z-Score -3.78.
Trades booked for tracking
