20+ TREASURY BOND: The 20+ TBond Commandments

Following The Government Into The Downward Trend

Executive Summary

• TLT ranks on top of the IV Rank and IV Percentile lists.

• Selling premium at the top usually pays off.

• TLT with a negative beta may serve portfolios well.

• Selling slightly bearish risk-defined straddle results in a 6.20 Credit.

1. Why Do I Care Right Now?

TLT continues to rank on top of my lists on IV Rank and IV Percentile, as high as 85/100 and 95/100, respectively. Both implied volatility measures tend to revert to the mean (50/100), and selling a juicy premium at the top usually pays off.

I am not particularly enjoying playing with TLT. It is not my favorite asset. But considering the market environment and the majority of assets behaving like there was no correlation below 0.90, TLT with a neutral S&P beta and correlation may serve portfolios well over the next 20-30 days.