Dec20 Eurodollar 98.875/99.25/99.625 Call Fly with 460 days to expiry
Just spotted this trade going through, and quickly checked its pricing logic, looks an interesting value trade. Most interesting, is the good historic performance of this long dated Fly, see below.
How much would a 460 days to expiry 60 out 37.5 wide Call fly have made over the last 10-years? 0.069.
