TLT Analysis

iShares 20+ Year Treasury Bond ETF (TLT)

Update 2/22/2020: I my short iron condor position on TLT, three days before the options expire. The debit was $2.18, a loss of $2.80 per contract/share. The unraveled the position in two steps, selling the in-the-money short call spreads on February 19, and then allowing the short put spreads to expire worthless after the Friday’s closing bell. Shares were trading at $145.45 at exit, $7.37 above their level at entry.

The underlying stock began to climb two days after I entered the options position, largely staying, unprofitably, above the short call strike price for the remaining time I held the position. The implied volatility rank was 40.5% at exit, 8.8 points above the entry level.

The options position produced a -64.2% loss over 43 days for a -545% annual rate.

I have entered a short iron condor spread on TLT, using options that trade for the last time 45 days hence, on February 21. The premium is a $0.78 credit and the stock at the time of entry was priced at $138.08.

The profit zone for this position is between $143.78 on the upside and $131.78 on the downside.

The implied volatility rank (IVR) stands at 36.7%.

Premium: $0.78 Expire OTM
TLT-iron condor Strike Odds Delta
Long 146.00 89.0% 11
Break-even 143.78 83.5% 16
Short 143.00 78.0% 21
Short 134.00 79.0% 23
Break-even 131.78 84.5% 16.5
Long 131.00 90.0% 10

The premium is 26.0% of the width of the position’s wings.

The profit zone covers a 4.1% move to the upside and a 4.9% move to the downside of the entry price, for total coverage of 8.9%

The risk/reward ratio is 2.8:1, with maximum risk of $222 and maximum reward of $78 per contract.

By Tim Bovee, Portland, Oregon, January 7, 2020


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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