Long the NOB spread via verticals: 1/7/2015

Some background on trading the yield curve.

Looking for a steepening of the yield curve.  i.e. longer term yields rise faster than shorter term.  In that event, shorter term bond prices would rise faster than longer term.  Expressing that opinion via going long the NOB (Notes – 10 year over Bonds – 30 year) spread using verticals in /ZN & /ZB.

SOLD -2 VERTICAL /ZNH5 1/1000 MAR 15 /OZNH5 128.5/128 PUT @0”18
Bullish bias
SOLD -1 VERTICAL /ZBH5 1/1000 MAR 15 /OZBH5 147/148 CALL @0”29
Bearish bias
Order

Note: Commissions not included
SOLD -2 VERTICAL /ZNH5 1/1000 MAR 15 /OZNH5 128.5/128 PUT @0”18
Max. Profit = $562.50
Max Loss = $437.50
DTE = 43
BE = 128’070
POP =~ 50%
Max. ROC  = 562.50/437.50 =~ 128%
Tgt. ROC (@ 50% of max. profit) = 281/437.5 =~ 64%.  Will look to see how this spread trades relative to the short call vertical in /ZB – below.   The 50% is something to shoot for initially.

SELL -1 VERTICAL /ZBH5 1/1000 MAR 15 /OZBH5 147/148 CALL @0”29 LMT
Max. Profit = $453.13
Max Loss = $546.88
DTE = 43
BE = 147’14
POP =~ 50%
Max. ROC  = 453.13/546.88 =~ 83%
Tgt. ROC (@ 50% of max. profit) = 226/546.88 =~ 41%.  Will look to see how this spread trades relative to the short put vertical in /ZN – above.   The 50% is something to shoot for initially.

P&L diagram
Chart

 

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/ZB (30 Year US Treasury Bond Futures) Iron Condor: 1/5/2015

SOLD -1 IRON CONDOR /ZBH5 1/1000 MAR 15 /OZBH5 151/152/142/141 CALL/PUT @0”16
Neutral bias
Order

Note: Commissions not included
Max. Profit = $250.00
Max Loss = $750.00
DTE = 46
BE = 141’24 & 151’08
POP =~ 64%
Max ROC  = 250.00/750.00 =~ 33%
Tgt. ROC (@ 50% of max. profit) = 125/750 =~ 17%

Chart