Trade Idea - Eurodollar Options Put Skew Dislocation

March 23, 2020 04:09 PM
Futures Options Trade Idea

Futures Options Trade Idea


Put skew providing value trades

Eurodollar options September put skew is worth checking, especially if you see the chance of drift here in EDU contracts like we’re seeing in EDM.

EDU Skew bid

The main impact of this steepness value wise is that it’s driving the value of Puts Spreads, Condors, and Flys etc a lot cheaper, as the bodies or sell legs become expensive versus ATM strikes.

My blotter this morning that tracks rich/expensive Z-Score lighting up on the Put EDU structures.

Plotting the EDU 99.625/99.375/99.125 Put Fly as an example, trades close to 3-Years lows, 175 days to expiry with a breakeven between 99.597 & 99.153.

Other ideas – check EDU puts as a calendar spread versus Jun/Dec/Mar or vs Midcurves, the Vol diffs look significate enough to offer some potential switch values/ideas.


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.