Eurodollar Mar0/Jun0/Sep0 81/82/83 Fly Strip (Sell)
This is a trade we recommended back in early November at around 7.5 ticks (as a buy) after we saw it printing in size (500K). Looking at the trade again here now it’s looking pretty rich and is probably a reasonable sell. Reasons to exit this trade and look at it as a short has been the sudden interest in the last week for the March Eurodollar 82/83/85 Fly, another trade we looked at in early December at around 1.5 ticks, which closed last night at 0.02, Gold spiking isn’t helping, a Z-Score close to 3 and Strike Pinners out in force in the 82 strikes (>600k Open Interest across the strikes).
Risk
Backtesting analysis shows the max 10-year value at 0.211 for the first expiry in 76 days. It’s been valued at more than 0.17 on only 10.3% of the time (259 from 2501 days) at the first expiry.
