EDZ0 98.50 Straddle(Sell) vs EDH1 98.50 Straddle(Buy), with 408 & 499 days to expiry, previous settlement -0.0575
Saw this trade printing this afternoon for -6 ticks, selling the EDZ9 Straddle to buy the EDH0 Straddle, might be worth a second look. It’s trading way above its 10-Year average of -0.123 and above is 10-Year average backtest number of -0.164
A 10-Year backtest shows a similar value number, this spread has settled at -0.164 average (if executed every business day for the past 10-Years).
Eurodollar Straddle runs shows just how tight the Straddles Spreads are currently, definitely worth checking the histories and how they Backtest, to try and gauge potential values.
