Mar20 98.25 Straddle – Jan20 98.25 Straddle with 178 & 112 days to expiry (Vega 0.0055(Mar) & 0.0043(Jan))
Jan Vol trading 1.06x over Mar Vol, with skews are very similar, this looks like a good area to explore for calendar Option spread trades, this was spotted in our Dollar Runs area.
Mar 98.25 Straddle – Jan 98.25 Straddle
This spread closed at 0.05 last night (32.4-27.4), suggest selling Jan @ 27.4 to Buy Mar for 32.4.
Alternative would be to Vega weight the trade, and sell 1.27x Jan vs Mar.
Trades booked for tracking.
