The Red July mid-curve (0EU5) 99.00 put traded earlier 50,000 times after my colleague here at TJM, John Maher put out a quick note suggesting possible value in paying 1.5. This 24 day, -0.19 delta option lies 18 bps out-of-the-money. It provides a view not only of the FOMC decisions tomorrow but also another employment report. The September '15 Eurodollar (CME:EDU15) underlying future traded as high as 99.39 on May 29 and is currently at the lowest levels reached since May 2.
A couple weeks back I wrote a note or two about how the developing bearish trend in Eurodollars has been strengthening. The bearish trend looks even more solid today. The Sep ’15 contract is near to the point where consensus has the Fed actively advancing the policy rate away from the zero bound. My guess is that there is decent risk that the Fed comes in before the end of the first half of 2105.
The Fed is not likely to share detailed plans for the timing of policy rate changes in the statement tomorrow but should that happen, EDU5 and surrounding contracts could be well lower.
The Red July 99.00 put is currently quoted 1.5/ 2.