Free Trial

Funded Low Delta Dec'23 10Y Put Condor: 3W Yield Surge Hedge

US TSY OPTIONS
  • +4,000 TYZ3 99.5/103/104.5/105.5 put condors 5 over the TYZ3 108.5/110 call spds ref 105-24.5.
  • Parsing the structure that expires in a little over 3 weeks: the put condor is roughly a hedge for a rise in 10Y yield from the current 4.9146%, to between 5.15% (104.5 strike) and 5.36% (103.5 strike), partially funded by the sale of the low delta call spread.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.