Category Archives: Fixed Income

Short Strangle – 10 Year US Terasury Notes Futures


SELL -5 STRANGLE /ZNH5 1/1000 JAN 15 /OZNF5 132.5/121 CALL/PUT @0”09 LMT Credit – max profit (including commissions) = $672.43 Initial margin = $1,885 ROC =~ 35% Look to take off trade at 50% of max profit. POP =~ 90% Advertisements

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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 … Continue reading

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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 … Continue reading

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TBT (ProShares UltraShort Lehman 20+ YrETF) – Short term Long


This is purely a short term technical play.  The fed chairman is maintaining a dovish stance, so from a macro standpoint, interest rates are not expected to rise any time soon. Long around the 64.5 area.

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TBT Diagonal


Over the past couple of months, bond prices have fallen steadily as a result of higher yields.  While in the short term the trend might reverse, I share the wider view that long term bond yields will rise further. Initiating … Continue reading

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