GCZ9 1485 Puts+GCZ9 1545 Calls-GCZ9 1515 Straddle (Short Iron Fly) 77 days to expiry
This trade might be worth looking at if you’re looking for a reasonable way to short vol here, the trade closed around -25.51 on Friday, max payout would be -$30 outside 1485/1545 at expiry, a $4.49 net risk.
Chart reflects the Vol
Risk Reversal revisited
This is a trade we highlighted 3 weeks ago as super extreme (7 year highs (Calls over)), it’s still holding extreme and probably worth a second look. Check out 200 wide Risk Reversals on Dec and Feb.
Worth noting that Skew a year ago was very different.
Trades booked for tracking
