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
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)
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
With July 4th next week and TY Vol (Aug) around recent highs, plus sitting close to 2% in 10y Note (generic) , we look at… Read More »Fading TY Vol into July 4th