TLT Analysis

iShares 20+ Year Treasury Bond ETF (TLT)

Update 9/12/2019I exited my short iron condor on TLT after the share price exceeded the lower breakeven point, moving into unprofitability so far that, at the rate of change at that time, it would take a 5.6 days to return to profitability. By my rules, that demands an exit. Shares were priced at $139.51 at exit, down $7.48 from the entry price, and the options positions produced a $2.84 debit, down $1.36 from the entry credit.

The TLT share price began to decline the day after I entered the position, and continued to decline three the next five trading days, breaking into unprofitability on the fifth day. The implied volatility rank declined by 7.2 during the holding period to 53.0%

Shares declined by 5.1% over eight days, or a -232% annual rate. The options position produced a -47.9% loss for a -2,185% annual rate.

I have entered a short iron condor spread on TLT, using options that trade for the last time 44 days hence, on October 18. The premium is a 1.48 credit and the stock at the time of entry was priced at $146.99

The profit zone for this position is between $155.48 on the upside and $137.48 on the downside.

The implied volatility rank (IVR) stands at 60.2%.

Premium: $1.48 Expire OTM
TLT-iron condor Strike Odds Delta
Long 162.00 95.0% 6
Break-even 155.48 87.5% 13.5
Short 154.00 80.0% 21
Short 142.00 77.0% 23
Break-even 137.48 85.5% 14.5
Long 136.00 94.0% 6

The premium is 21.1% of the width of the position’s wings.

The profit zone covers a 5.8% move to the upside and a 6.9% move to the downside of the entry price, for total coverage of 12.7%

The risk/reward ratio is 3.7:1, with maximum risk of $552 and maximum reward of $148 per contract.

By Tim Bovee, Portland, Oregon, September 4, 2019


Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.

No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.

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