EDM0 98.625 calls vs Blue June 99.00 calls – Trade Analysis

This was a trade printing yesterday at even, it’s interesting on a number of different levels. Firstly EDM0 98.625 Calls are running pretty rich to Blue June 99.00 Calls. Back-tested being long the EDM0 98.625 Calls vs Blue 99.00 Calls would have been pretty expensive (-12.6 ticks average over 10 years) due to near-continuous outperformance of Blue Futures vs Fronts (flattening).

If you think the Blue Futures will continue to outpace Front then selling the EDM 98.625 Calls vs the Blue 99.00 Calls makes sense.

EDM0 98.625 Calls are also rich vs Blue June 99.00 Calls. sitting on the 96% percentile on an 8-year view.

The plot of both Implied Vols shows how Front Vol has been closing on Blue