2y midcurve Mar20 Eurodollar 98.75 straddle with 156 days to expiry
Seeing this trade going through this afternoon, despite looking rich on a Vol view, its performance historically is way better than its current price. Paper selling it at 41.5, potentially a decent value trade. Back testing shows the trade would have paid out 82 cents on average over 10 years , even in the quieter period between May 11 to Aug 17 it returned 54 cent on average.
Trade booked for tracking
