Rates

Eurodollar Sept20 98.75 straddle trading at 58.5, with 375 days to expiry, vega 0.008 We’ve been spending a bit of time recently using our historic… Read More »Eurodollar Sept20 98.75 Straddle printing this afternoon – Trade Analysis

EDZ 98.25 Calls – EDZ 98.125 Straddle (Big Lizard) 104 days to expiry, 36% Delta, -3.58 Z-Score (5-Years) This is a good structure to check… Read More »A Big Lizard in Dec Eurodollars – Option Trade Idea

Nov Eurodollar 98.125/98.25/98.375 Call Fly with 77 days to expiry Check out this trade going through in Nov Eurodollar Options this afternoon at 1.5 ticks.… Read More »Trade printing in Nov Eurodollars Options this afternoon – Trade Analysis

EDZ0 98.75/99.25/99.75 Call Fly 473 days to expiry Dec20 Eurodollar skew has been on our radar for a while now, with our first trade idea… Read More »Dec20 Eurodollar skew update and Trade Idea

Short M 88/92/96 Call Fly – Short M 83/80/76 Put Fly with 289 days to expiry, 12.5% delta. Maybe a slow burner but this trade… Read More »Short M 88/92/96 Call Fly – Short M 83/80/76 Put Fly – RV Trade Idea

With every other trade seeming to be selling Puts and Puts Structures to buy Calls and Call structures, this seems to be a hugely crowded… Read More »Use Dec19 Puts to finance Sep20 Puts – Eurodollars – Trade Idea

jan20 eurodollar 98.50 straddle vs midcurve jan20 eurodollar 98.75 straddle – 138 days to expiry This is a trade we saw going through early last… Read More »Front F 85 Straddle vs. Short F 87 Straddle – Trade Idea

midcurve dec19 eurodollar 98.75/99.00/99.25 call fly (EDZ0, currently at 98.74), 109 days to expiry, settled 0.033. If you think there’s a good chance of the… Read More »Dec Midcurve trade looks value if you see 99.00 (EDZ0) as a good chance – Trade Idea

With Eurodollar skew continuing to edge interestingly more extreme (the EDZ 50 wide Risk Reversal closed at -0.035 Friday, the low since August 7th 2007… Read More »Couple of EDZ 1x3x2 Flys that might be useful – Trade Ideas

EDV 98.25 Calls (50 days to expiry(Oct), 41% Delta, 0.0014 Vega) vs EDZ 98.25 Calls (115 days to expiry(Dec), 43% Delta, 0.0022 Vega) If you… Read More »EDV 98.25 Calls vs EDZ 98.25 Calls -Trade idea