Trade Idea - June Eurodollar Interest Rates 98.50 Straddle

February 11, 2020 04:09 PM
Futures Options Trade Idea

Futures Options Trade Idea


Sell June ED 98.50 Straddle @ 20.5 with 122 days to expiry

This has been trading at 20.5 ticks this afternoon, which looks around 44 Implied Vol. Backtesting shows that selling 122 day straddles with only a 43/48 Implied Vol Range would have returned 7.9 ticks net over the last 12 years on average per trade.

In addition, the trade looks high on Percentile (84%), and payouts look reasonable for current market conditions.

As you can see Vol up here is pretty rare for this June Straddle(122 days). Encouragingly the trade idea did very well back in 2009/2012.

Trade results net of entry cost

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.