Post FOMC call skew still holding up – EDZ
Dec Eurodollars down tick and call skew goes more bid. The move seems to be cheapening the Flys and Condors – bodies are outperforming wings.… Read More »Post FOMC call skew still holding up – EDZ
Rates
Oct Eurodollar structure worth checking
This looked an interesting trade this afternoon, the EDV (Oct) 78/80 Strangle vs 82 Call, Z-Scores at 2.79 with 72 days to expiry. Payout looks… Read More »Oct Eurodollar structure worth checking
US 30-year (USU) Vol vs US 5-year (FVU) Vol still looks interesting
This was a trade we highlighted a couple of weeks ago, and it certainly looks interesting to follow over the next week or so. Over… Read More »US 30-year (USU) Vol vs US 5-year (FVU) Vol still looks interesting
Small skew shift Dec Eurodollars cheapening some call structures
Flagged overnight in our system of a potential Call Fly that was worth checking out, seems a more bullish view on Eurodollars yesterday versus last… Read More »Small skew shift Dec Eurodollars cheapening some call structures
Twitter – Red Z 83 Straddle, TJM sold 1000 at 60
Just spotted this little trade on Twitter, which we crunched with our new performance function, looks pretty good. Selling above 60 has been profitable on… Read More »Twitter – Red Z 83 Straddle, TJM sold 1000 at 60
A Eurodollar Midcurve Call Condor showing some value
A small kink in the Call vol at the strike 98.75 seems to be pushing some value into the 0EH 98.50/98.625/98.75/98.875 Call Condor (Hedge EDH1),… Read More »A Eurodollar Midcurve Call Condor showing some value
Sept Bund Puts viewed on our new performance function
Clients have been asking us for a while to develop functions to allow the performance over time of any strategy or option to be measured… Read More »Sept Bund Puts viewed on our new performance function
Eurodollar put skew presenting some opportunities for RV Bulls on Friday
Discounted Put skew might be interesting if you looking to sell vol here, assuming you’re bullish/neutral at these levels. For example the EDZ 98.00/97.75 Put… Read More »Eurodollar put skew presenting some opportunities for RV Bulls on Friday
Rich/Cheap Thursday – EDH Options
A market scan on CME Eurodollars Options on the close is always a trove, plus a challenge to spot potential trades of value. Wednesday close… Read More »Rich/Cheap Thursday – EDH Options
Highlight on a Blog trade idea – USU Puts vs FVU Puts
Always love Alex Manzara’s blog, it’s a great source of ideas and interesting thoughts. An essential daily read. This weekend he discussed the US 30-Yr… Read More »Highlight on a Blog trade idea – USU Puts vs FVU Puts