midcurve jun20 eurodollar 98.625 straddle with 275 days to expiry
Just saw this strategy printing at .53, although it looks high in the context of the last 5 years, if you push the analysis back to 2007, the trade potential looks cheap. It’s certainly interesting to see what these types of trade did in the last financial crisis.
Trade looks a marginal buy on a longer term view or if you expect a repeat of 2007/2011.