Mar Eurodollar Call Spread Structure that looks good value – Trade Analysis

EDH0 83/87 Call Spread + EDH0 85/87 Call Spread – EDH0 82/80 Put Spread with 121 days to expiry, 73.6% Delta

Check out this 3-leg Call Spread that’s printing this afternoon at 0.02 & 0.03. Looks fair on Price and if you like the payout profile into March, it’s probably worth a look, it’s certainly a good pointer to look for strike &/or month variation, but this one looks pretty decent already.
Has a very good backtest result (bottom chart), 0.09 payout over 13 years. A rare structure trading way below its backtest long term average.

13-Year Backtest average return 0.09, interestingly the negative payouts have fairly limited over the period, suggesting 121 day forward Futures have been relatively well priced to downside risk.