If the virus has taught us anything it should be that things change and when they change it can happen quickly. Having said that, much though I would like to believe that rates may move, with the Fed attempting to ring-fence rates out as far as possible, that maybe just wishful thinking.

So what can one do?

Is there anything left in rate options that offer any kind of reasonable potential return?

Well, as it happens, there is.

Let's assume a potential move first. let's also assume that we aren't quite sure when or how far it'll go so we can create a wide landing pad for our targets.

In this scenario, we are targeting EDM1 at a price of 9940, plus or minus 10 ticks. 250 days from now, plus or minus 20 days. 

choose a target price and time frame


Filtering our list to only look at put flys, there are some great opportunities for a great return based on $100k of initial margin.

our system calculates 100's of thousands of possible scenarios to create a list with trades showing the best ROI and risk/reward

This particular trade that we highlighted when analyzing a 25-year constant maturity lookback this equivalent fly has never been cheaper.


What I also like about this trade is that even if nothing happens we can look at the same trade that is currently priced in EDZ0 as being valued at nearly 2 ticks without us having gone anywhere!!

current value

and it looks pretty good on a heat map too...

But what if the FED do manage to keep the rate markets in check for the foreseeable future?

With volatility in the White straddles at all-time lows is there any way to represent a potential on hold forever?

Well with paper coming in to sell over 35k of the December straddles this morning at 7 basis points the EDZ0 9962.5/9975/9987.5 1x3x2 Call Fly is currently up to 5/5.5 on the back of the Sellathon 

As can be seen on this Heat map (which implies you buy this ratio call fly @5) you can see that there isn't much wiggle room on this...

heat map for the December fly, not liking this very much TBH

However, the EDH1 9962.5/9975/9987.5 1x3x2 Call Fly is currently being priced at -.25/+.25

If you can buy this at EVEN the Heat Map looks like this....

So it can be down to choose your poison......