Short Strangle – 30 Year US Terasury Bond Futures


SELL -4 STRANGLE /ZBU4 1/1000 SEP 14 /OZBU4 142/129 CALL/PUT @0”09 LMT
Days to exp. = 47
ROC (max. profit) = 562.5/2279.00 =~ 24.7%
The idea would be to take off the spread around 50% of max. profit.  Hence the actual ROC would be actually around 12%, since maximum profit will not be collected.

ZB-7_6_2014

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This entry was posted in /ZB, 30 Year US Tresury, Fixed Income, Futures, Options, Short Strangle. Bookmark the permalink.

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