Eurodollar Apr 83 Put vs. Jun 82/83 Put Spread – Trade Analysis

Buy Apr 83 Puts with 91 days to expiry Delta -59.8%
Sell Jun 82/83 Put Spread with 157 days to expiry Delta +28.5%

If you’re looking for some cheap downside protection, this looks good value. We just saw this trade printing at 0.01 on the Exchange in 10k. A rare Put strategy in today environment. It’s potentially interesting to hedgers/bears as it has a good performance history and is also trading relatively cheap (Z-Score -1).

Last trade at 0.01 & probably won’t come much cheaper

Backtest

This trade has done pretty well historically, returning 0.023 since 2013, this assumes valuation at the first expiry in 91 days.

Trade logged for tracking