SFRA Skew has flattened over the past month due to heavy buying of wings via Call trees, Call 1×2’s, and the unwinding of long downside structures. It appears the market has had enough as a skew buyer emerged today with this trade: PAPER -45,000 SFRZ2 95.625/95.875 CS 1×2 (-1Leg/+2leg) @ 0 REF: 9540. Vol, in general is much lower over this time period. However, these wings are just incredibly cheap as all the uncertainty regarding US and world economies and geopolitics still exist. Below is a chart of SFRZ2 Skew today compared to 1 month ago
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