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.