OPENING: TBT AUG/SEPT 37/33 UPWARD CALL DIAGONAL
... for a 2.62/contract debit.
Metrics:
Max Profit on Setup: 138/contract
Max Loss on Setup: 262/contract
Break Even: 35.62 vs. 35.69 spot
Debit Paid/Spread Width Ratio: 65.5%
Notes: Basically, shorting treasury strength with the inverse instrument ... . Here, I'll look to take profit somewhat quickly, since I've only got one roll opportunity with this setup. I ordinarily like to do these as skip months (e.g., August/October) to give me more time to be right and more roll opportunities, but there is no October expiry available yet. You can naturally look at doing a similar downward put diagonal in TLT.
Metrics:
Max Profit on Setup: 138/contract
Max Loss on Setup: 262/contract
Break Even: 35.62 vs. 35.69 spot
Debit Paid/Spread Width Ratio: 65.5%
Notes: Basically, shorting treasury strength with the inverse instrument ... . Here, I'll look to take profit somewhat quickly, since I've only got one roll opportunity with this setup. I ordinarily like to do these as skip months (e.g., August/October) to give me more time to be right and more roll opportunities, but there is no October expiry available yet. You can naturally look at doing a similar downward put diagonal in TLT.
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