Rates

We saw Put skew steepen generally in the US Bonds Friday, as the market started talking up a more serious sell off. This skew move… Read More »Couple of trades to watch in CME Bonds after Fridays sell off.

Saw this trade going through on Thursday night which might be worth checking, CCM selling the EDZ 78/81 Call Strangle to buy the EDZ 77/82… Read More »EDZ Trade spotted on Thursday – CME

Continuing to see a push in March Midcurve skew which seems to be causing Flys and Condors to cheapen again. For example the synthetic 50… Read More »March Eurodollar Midcurve (0EH) Skew cheapening flys and condors

Check out the EDZ 97.875/97.625/97.375/97.125 Put Condor, closed at 0.08 last night, pays out 25 if it settles between 97.625/97.375 in 159 days. If you’re… Read More »Not bearish and looking to sell Vol (EDZ)

This is a revisit of the TV and FV trade from last month, where we looked at the August expiry, here we look at the… Read More »TY and FV Vol still look interesting

Another Skew shift on Friday – seems the Eurodollar market is pretty unconvinced of further weakness in Eurodollars after Fridays, strong data and market selloff.… Read More »Eurodollar Skew shift Friday

A very US focused month with high Vol and skew swings providing the main entertainment. The addition of a couple of new columns (Z-Score and… Read More »June’s Summary and Tally

Had to go out to the Midcurves to find anything of real interest on Friday. The Sep MIdcurve Put structures (75 days to expiry) seemed… Read More »June’s last one…

A quick market scan looking for trades that look adrift. Sept Eurodollars Calls structures are all showing high on Z-Score and low on Max Leverage,… Read More »Rich/Cheap Thursday

Big shift over the week in Eurodollar skew causing a number of structures to be totally upended. For example, check this EDU ATM Call Tree(+1… Read More »Huge shift in Eurodollar skew