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.