Short Strangle – 30 Year US Terasury Bond Futures


SELL -3 STRANGLE /ZBZ4 1/1000 OCT 14 /OZBV4 145/129 CALL/PUT @0”12 LMT GTC
Days to exp. = 59
ROC (max. profit) = 562.5/1654.13 =~ 34%
The idea would be to take off the spread around 50% of max. profit.  Hence the actual ROC would be actually around 17%, since maximum profit will not be collected.

ZB-7_29_2014

 

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

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s