hi betcashrun - I am working on a paper that shows SABR can take this particularity as a parameter, would love to get data and find the optimal parameter to use to solve this.
This way out of my league ! Thanks a lot for the effort and the input. Does this says that my strategy is good ? I'm on a roll. I'm having a lot of faith in this strat. I'm looking at other markets for this kind of arb. I'll keep you posted
without some times series of the empirical difference between those two months, i cannot make a choice