Trade Idea Eurodollar Rate Options: Put Butterfly Trading Near 10-Year Lows

Futures Options Trade Idea

Futures Options Trade Idea

 

March at the money Eurodollar Fly trading close to 10-Year lows – Trade Analysis

 

Trade Idea: 

 

March Eurodollar Option 85/83/82 Put Butterfly Fly with 101 days to expiry

 

Just spotted this trade going through @ 0.0175. Closed at 0.015 last night vs Futures @ 98.30. It’s trading close to 10-Year lows at 0.012 (Z-Score -1.90). It sounds a long shot, but it has a 10-Year backtest average value of 0.0559. (This is not one for strike pinners, as they will be totally focused on the EDH0 83/82/81 Fly that closed at 0.06).

 

The Backtesting chart over 10-Years shows the potential of this trade. A quick also shows the trade as a reasonable risk, handling ±20 tick underlying, date moves and ± 10 Vol shifts well. In 35 different scenarios, 10 end up out of the money.

 

Backtest average value over 10-Years = 0.0559

Quick scenario analysis also shows the trade as a reasonable risk, handling ±20 tick underlying, date moves and ± 10 Vol shifts well. In 35 different scenarios, 10 end up out of the money.

 

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.