Mar22 eurodollar 98.50 straddle with 873 days to expiry vs midcurve Mar20 eurodollar 98.50 straddle with 143 days to expiry
Just alerted to this trade going through, selling the Long Green H 85 Straddle vs Short H 85 Straddle at 40 cents. Firstly if you look at the synthetic history you can see the current pressure this structure is under. 0.372 was the previous low back in October 2012. Getting sold tonight at 0.40.
Backtesting the structure looks pretty robust with a .54 return post-crisis.
Looks worth investigating further.
