Euro spread

With two days to go before expiration, the euro spread is well positioned. Unfortunately, someone is spiking the 1.235 put, so I am not seeing the full benefit of theta. If I take to expiration, and I intend to do so, I will be assigned the OTM futures and will need to either immediately close the trade or hedge the non-offsetting contracts. Fortunately, there is no assignment fee for futures.






This trade started with a long futures contract at 1.1985. My thinking is that /6E will continue to climb as the interest rate / inflation picture in the US continues to underwhelm. The problem was my timing, obviously. So I placed an unbalanced butterfly put spread to mitigate unrealized losses, and another call spread to the upside in order to increase the payoff to an acceptable ratio to risk. The overall cost of this trade (margin) is surprisingly inexpensive. Volatility (EVZ) is ticking up a bit, but still below 10.



2 thoughts on “Euro spread

  1. Good post thanks.
    I wrote this note this morning to myself…
    “GM all, I just want to say my system is telling me the next few days, at least, can be very volatile. very little structure to constrain price action, Market Makers Playground, buy/sell extremes dont get stuck in the middle or ranges with stops in vulnerable places is the note I wrote to myself this morning”


    1. Thanks for the comment. You’re system is pretty darn good. On all my option spreads, the pricing is a little whacky and the liquidity isn’t what it normally is, despite open interest and volume being pretty much normal (favoring narrower bid/ask spreads). Harder than it “should be” to get filled. It’s a little disorienting.


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