TRADE IDEA - Eurodollar Options Dec20 Call Options Skew On The Move

August 29, 2019 11:15 AM
Futures Options Trade Idea

Futures Options Trade Idea

Eurodollar (Rates) Call Options Skew


Trade Idea: 


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 being to buy the EDZ0 98.875/99.25/99.625 Call Fly @ 0.025, that trade still looks cheap, but with the skew on the move other trades are worth a look, with the idea of trying to target the current skew bulge in calls.


Checking out the 98.75/99.25/99.75 Call Fly, that targets this strikes well, trades close to 10-year lows. Closed at 0.065 last night.


Interestingly for a directional fly, this has a reasonable historic payout profile of 19.1 over 10 Years.


Alternative Eurodollar Option Structures

Any structure selling the 99.25 strike and buying the wings, should prove to be cheap. Check out EDZ0 98.75/99.25/99.75 1x3x2 Call Fly.


Just remember, this is a trade idea only and not investment advice. Do your own research and consider your risk tolerance. Know your risk.

Disclosure: We may have trading positions in the same or highly correlated trading structures. 



About the Author

George Austin is a co-founder of Pricing Monkey. Pricing Monkey provides financial derivative pricing and analytics software that helps improve understanding of complex derivative positions.