The lowest one-year euro$ spread is Dec’19/Dec’20, which has made a new low of -19.5 today.  The bid side, -19.5 is down 4 on the day.  Attached chart shows constant 4th to 8th contract spread which is now Z9/Z0.  In 2006, the lowest this one-year spread got was -26.5. 
A trade that went through today is a synthetic buyer of this spread +EDZ9 9725/9737cs vs -0EZ 9762/9775cs, paid 1.0 for the front Dec call spread.  Not shown on this chart is a spike low from the very end of 1994, when the spread traded briefly at -23.0

Posted on December 20, 2018 at 1:03 pm by alexmanzara · Permalink
In: Eurodollar Options

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