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Spotted this trade going through the market earlier, Short U 86 Straddle vs. Short X 86 Straddle Taking a closer look in PricingMonkey at the… Read More »Fed Play with Sep and Nov Midcurve Straddle Spreads

Flagged this trade this morning, seems cheap 98.375 Puts pushing the 0EH 98.75/98.625/98.50/98.375 Put Condor to a 0.0175 close (-2.54 Z-Score, 217 days to expiry).… Read More »A Midcurve March Eurodollar (0EH) Put Condor looking good value

Puts are pretty offered in Eurodollars currently and lot of the Puts structures out beyond Sept are offering value. Check out this EDZ 98.25/98.00/97.75 1x3x2… Read More »Cheap Dec Eurodollar Christmas Tree this morning

Check out this Blue Dec 87 Straddle (128 days to expiry, 3rd midcurve onto Dec22 ED’s) that’s just gone through. Running our performance review on… Read More »Performance chart showing trades of value – Blue Dec 87 Straddle

With over million contracts now open in the Dec20 Calls above the 99.00 strike (495 Days to expiry), and seemingly a continuous flow of Calls… Read More »Dec20 Eurodollar Skew getting bent out of shape

Bund and SX7E look a bit out of sync recently (correlation .75) with Bunds yield diving to new lows but SX7E holding. Maybe time to… Read More »Bunds versus SX7E

All the action seems to be in Dec Eurodollar options at the mo, with plenty of trades being flagged up as worth investigating. Check out… Read More »Mildly bullish from here, check out the EDZ 98.125/98.375/98.625 1x3x2 Call Fly

Matching the levels we saw at the end of May this year, EDZ skew (synthetic 50 wide Risk Reversal in ticks) closed at -0.029 last… Read More »Record 12 year skew in Eurodollars again

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