EDZ0 98.75/99.25/99.75 Call Fly 473 days to expiry
Dec20 Eurodollar skew has been on our radar for a while now, with our first trade idea being to buy the EDZ0 98.875/99.25/99.625 Call Fly @ 0.025, that trade still looks cheap, but with the skew on the move other trades are worth a look, with the idea of trying to target the current skew bulge in calls.
Checking out the 98.75/99.25/99.75 Call Fly, that targets this strikes well, trades close to 10-year lows. Closed at 0.065 last night.
Interestingly for a directional fly this has reasonable historic payout profile of 19.1 over 10 Years.
Variations – any structure selling the 99.25 strike and buying the wings, should prove to be cheap. Check out EDZ0 98.75/99.25/99.75 1x3x2 Call Fly.
