TLT Analysis

iShares 20+ Year Treasury Bond ETF (TLT)

Update 10/23/2019I’ve exited my short iron condor position on TLT as it attained 50% of maximum potential profit. I closed the position for a $0.41 debit, half of the $0.82 credit I received upon entry. Shares at exit were trading at $140.16, down $2.95 from their entry level.

TLT rode a roller coaster during the lifespan of my position. It rose sharply for four days and then declined for 11 days to below its price when I entered the position, thereafter recovering for two days and triggering my exit. The implied volatility rank at exit was 40.8%, down 25.6 points from the entry level.

Shares had a net decline of 2.1% over 22 days, or a -34% annual rate. The options position produced a 100.0% return for a +1,659% annual rate.

I have entered a short iron condor spread on TLT, using options that trade for the last time 45 days hence, on November 15. The premium is a $0.82 credit and the stock at the time of entry was priced at $143.52.

The profit zone for this position is between $151.82 on the upside and $132.82 on the downside.

The implied volatility rank (IVR) stands at 66.4%.

Premium: $0.82 Expire OTM
TLT-iron condor Strike Odds Delta
Long 157.00 94.0% 6
Break-even 151.82 89.0% 11.5
Short 151.00 84.0% 17
Short 136.00 85.0% 15
Break-even 132.82 89.5% 10.5
Long 132.00 94.0% 6

The premium is 16.4% of the width of the position’s wings.

The profit zone covers a 5.8% move to the upside and an 8.1% move to the downside of the entry price, for total coverage of 13.8%

The risk/reward ratio is 5.1:1, with maximum risk of $418 and maximum reward of $82 per contract.

By Tim Bovee, Portland, Oregon, October 1, 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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