Canadian Sep BA vol vs Sep Eurodollar

If you’ve got a view on Canadian Rates vs US here, the BA Vol is currently running over ED’s, so might be useful to construct trade ideas.

For example, if you look at BA Sep 99.125 Puts(32 out) vs Sep ED 99.25 Puts (35 out) the trade should be doable for a credit, this is despite the flat BA current skew vs ED (see below).

Sept BA skew vs Sep ED skew

BA skew is much flatter