USZ 158 Put – 4.367*FVZ 118.25 Put with 35 days to expiry
If you’re on the steepening track in the US, the recent drop in 30-Year Vol might be worth a look, you should be able to get similar Delta Puts in US 30-Year (USZ) vs Selling US 5-year Puts for a small credit.
For example USZ 158 Puts versus FVZ 118.25 Puts, with a vega weighting 4.36 should price around flat. These are both approx 30 Delta strikes.
Trade booked for tracking
