EDZ14…9950c strike getting interesting

 Midcurve EDZ4 (0EZ4) 9950c have 463k in open interest (1.5/2.0 ref 9936, delta ~ 18).  Most of which is a result of sales of 0EZ 9900/9950 strangles and 0EZ 9912/9950 strangles vs blue midcurve put spreads.  The 9950c leg was sold down to 1.0.

The high in EDZ4 in August (on the 12^th) was 9942.5.  The high prior to the selloff was 9959.0.  Currently EDU4 trades 9950, so the roll should take EDZ4 up to strike.  If the market continues to rally, shorts could have a problem in these calls…total open interest in EDZ4 is 871k.

 

 

 

 

 

 

 

 

 

 

 

 

 

• ABOUT:
  Former member of the CME specializing in interest rate options and yield curve strategies.

  The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results.