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Volatility
Options fall into the category of being slightly undervalued in non-volatile markets in the weekly options report.
Notes:
Contract Size - Points ($1,000) and 1/32 of a point. For example, 134-16 represents 134 16/32.
Tick Size: 1/64 of a point ($15.625/contract), rounded up to the nearest cent/contract.
Trading Hours: CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. Eastern Time (CST).
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30 Year Bonds
Below are weekly & daily charts for reference.
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Strategies
Below is the starting position for an strangle swaps. It allows for time to adjust the spread structure if necessary as price moves within a reasonable range of daily volatility. For example, monitoring the position at T+0, if prices approached 148, the strategy could be re-adjusted with a call spread to neutralize delta.
The % yield shown in the diagrams below represent an estimated return on margin from projected dates shown below. The structure has positive time decay which is an advantage over holding outright options.
