Fly Canada
In this post I take a look at the Canadian BA Options market. The atm strike has been offered down vs the wings over the… Read More »Fly Canada
Rates
The Silver Vol Surfer
Silver options were a wild ride in 2020, and implied vol continues to remain high. In this post we discuss how best to wager on… Read More »The Silver Vol Surfer
The Green Slopes of ED Vol
Vol may be low but we still see opportunities in Eurodollar Vol. Below we look at buying mid green straddles vs selling long green straddles… Read More »The Green Slopes of ED Vol
Tweety vs Sleepy And The Election Premium In Treasury Vol
With the initial shock to the markets seemingly over, and Fed policy set to “easy” to stimulate a recovery, rates markets have been subdued making… Read More »Tweety vs Sleepy And The Election Premium In Treasury Vol
The World Is Flat! (If You Are A Short End Trader)
Garnering a “Check The Facts” link on social media almost seem to be a badge of honour these days but here the facts support this… Read More »The World Is Flat! (If You Are A Short End Trader)
Lord Of The (Eurodollar 99.75 Middle) Flies
As the political dialogue switches away from managing the crisis to what-was-done-when and who-said-what-to-who, we take a look at the recent pop in the mids… Read More »Lord Of The (Eurodollar 99.75 Middle) Flies
TY Vol vs Bund Vol – Cheap Or The New Normal?
When long end rates move together in response to a global macro event, their realised vols converge. Structural flows also tend to stop as participants… Read More »TY Vol vs Bund Vol – Cheap Or The New Normal?
Sept Eurodollar Broken Iron Fly SOFR spread play
If you expect the current near term Eurodollar spread issues (vs SOFR, T-Bills etc) to continue, then Sept Eurodollars are worth a look. Sept Eurodollars… Read More »Sept Eurodollar Broken Iron Fly SOFR spread play
June Eurodollar Skew flattening
Check out the June Eurodollar skew shift this week, with the 3 Month Libor issues still very much on the radar it seems against the… Read More »June Eurodollar Skew flattening
Steep June Eurodollar Put Skew cheapening a lot of Put Structures
With June Eurodollars upticking this morning towards 99.50, it might be a good opportunity to grab some cheap Puts structures that start with this strike,… Read More »Steep June Eurodollar Put Skew cheapening a lot of Put Structures