Accelerating Call Gamma risk in Eurodollars
As everyone is aware we’ve seen non-stop buying of Calls and Call Structures on Eurodollars over the last 3 months which has caused the Call… Read More »Accelerating Call Gamma risk in Eurodollars
Rates
Sept 85 Call (EDU0) vs Green Sept 87 Call (EDU2) – Trade Idea
Buy Eurodollar Sept 98.50 Calls (235 days to expiry, 41.1 delta) vs Selling Green Sept 98.75 Calls (2-Year Midcurve) (232 days to expiry, -31.1 delta).… Read More »Sept 85 Call (EDU0) vs Green Sept 87 Call (EDU2) – Trade Idea
US Treasury Bond (USH) Puts financed with short US 5-Year (FVH) Puts – Trade Idea
USH 155 Puts (-22.8 Delta) versus a vega weighted sale of FVH 118.25 Puts (25.3 % delta) with 39.7 days to expiry. If you expect… Read More »US Treasury Bond (USH) Puts financed with short US 5-Year (FVH) Puts – Trade Idea
Eurodollar Apr 83 Put vs. Jun 82/83 Put Spread – Trade Analysis
Buy Apr 83 Puts with 91 days to expiry Delta -59.8%Sell Jun 82/83 Put Spread with 157 days to expiry Delta +28.5% If you’re looking… Read More »Eurodollar Apr 83 Put vs. Jun 82/83 Put Spread – Trade Analysis
Eurodollar Mar0/Jun0/Sep0 81/82/83 Fly Strip looks full value – Trade Idea
Eurodollar Mar0/Jun0/Sep0 81/82/83 Fly Strip (Sell) This is a trade we recommended back in early November at around 7.5 ticks (as a buy) after we… Read More »Eurodollar Mar0/Jun0/Sep0 81/82/83 Fly Strip looks full value – Trade Idea
Mar Eurodollar 98.25 Straddle vs Mar 98.375 Put – Trade to watch
EDH 82^ vs EDH 83 Put with 90 days to expiry 80.3% Delta If you’re looking for a cheap upside hedge/trade here, check out this… Read More »Mar Eurodollar 98.25 Straddle vs Mar 98.375 Put – Trade to watch
March at the money Eurodollar Fly trading close to 10-Year lows – Trade Analysis
March Eurodollar 85/83/82 Put Fly with 101 days to expiry (Buy) Just spotted this trade going through @ 0.0175. Closed at 0.015 last night vs… Read More »March at the money Eurodollar Fly trading close to 10-Year lows – Trade Analysis
Someone has done their homework – a value Call Fly printing – Trade Analysis
Buy Jan ED 98.25/98.375/98.50 Call Fly with 39.3 days to expiry, Z-Score -1.17 Sell June 98.125/98.25/98.375 Put Fly with 195.8 days to expiry Z-Score 2.05… Read More »Someone has done their homework – a value Call Fly printing – Trade Analysis
EDM0 98.50/98.75 call spread vs 98.25/98.375 put spread looks decent value if bullish here – Trade Analysis
EDM0 98.50/98.75 call spread vs 98.25/98.375 put spread with 202 days to expiry. +34.9 Delta. Have seen this trade printing heavily today, with around 50k… Read More »EDM0 98.50/98.75 call spread vs 98.25/98.375 put spread looks decent value if bullish here – Trade Analysis
A quick look at the Sep Eurodollar Skew – Trade Ideas
As everyone has probably read this week, Bloomberg has been pushing a story of a large ongoing Risk Reversal (RR) flow in Sep Eurodollars (Buying… Read More »A quick look at the Sep Eurodollar Skew – Trade Ideas