Check out the skew on Dec20 Eurodollar, unusually out of shape and offering potential trading opportunities. We’ve had this Skew blip on our radar since August, it’s moving shape but staying very extreme ahead of the 100 strike.
Picking out a few of these strikes to create a value call fly – Dec20 Eurodollar 99.00/99.375/99.75 Call Fly, you can see just how cheap this structure become on the back of this skew shape. Z-Scoring at -1.26.
It’s also worth checking the Jun20 and Sep20 skews as they both have similar (but not as extreme) skew kinks.
Trade booked for tracking.
