Rates

EDM0 98.50/98.75/99.00 Call Fly with 263 days to expiry 4.1% Delta Seeing this Trade as decent value this morning, steepening skew between the 12.5 Calls… Read More »EDM0 98.50/98.75/99.00 Call Fly looks good value – Trade Idea

Mar Midcurve 98.625 Straddle vs Mar 3yr Midcurve 98.50 Straddle with 172 days to expiry Have been seeing these types of Straddle spreads going through… Read More »Eurodollar Straddle Spreads seem to be on-trend – Trade Analysis

Mar20 98.25 Straddle – Jan20 98.25 Straddle with 178 & 112 days to expiry (Vega 0.0055(Mar) & 0.0043(Jan)) Jan Vol trading 1.06x over Mar Vol,… Read More »Eurodollar Options Jan Vol vs Mar Vol – Trade Idea

dec21 eurodollar 98.50 straddle with 817 days to expiry A quick look at this trade printing this afternoon at 77 & 77.5. On a historical… Read More »Long Green Z 85 Straddle – Eurodollar Options Trade Analysis

Front Z 80/81/82/85 Call Condor with 90.7 days to expiry A trade going through this afternoon, that looks to offer some value on a historic… Read More »Dec Eurodollar 80/81/82/85 Call Condor – Trade Analysis

nov19 eurodollar 98.00 straddle & nov19 eurodollar 97.875/98.00 strangle both with 61 days to expiry As we highlighted last week, Vol looks very vulnerable and… Read More »Nov Eurodollar Straddles & Strangles look rich – Trade Analysis

midcurve jun20 eurodollar 98.625 straddle with 275 days to expiry Just saw this strategy printing at .53, although it looks high in the context of… Read More »June Midcurve Eurodollar 86 Straddle – Trade Analysis

Dec20 Eurodollar 98.875/99.25/99.625 Call Fly with 460 days to expiry Just spotted this trade going through, and quickly checked its pricing logic, looks an interesting… Read More »Dec20 Eurodollar 98.875/99.25/99.625 Call Fly – Trade Analysis

EDX 97.875/98.375 Strangle – 98.125 Straddle with 68 days to expiry Despite sharp moves on Thursday, realized Vol seems to be trucking south , while… Read More »Dec Eurodollar realized Vol on the move, watch out – Trade Idea