June 2020 Eurodollar Call Butterfly – Trade Analysis
Trade Idea:
EDM0 98.50/98.75/99.00 Call Fly with 263 days to expiry 4.1% Delta
Seeing this Trade as decent value this morning, steepening skew between the 12.5 Calls (98.50 Call) and 37.5 Calls (98.75 Call) over time has been pushing this trade to multi-year lows.
The impact of this on the 98.75 centered call Fly has been continuous cheapening.
Payout…
How does this trade perform over time? Over the last 12 years, it’s returned 4.35 ticks on average, so it’s currently priced below its long term return number.
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.