With the IVR in TLT remaining relatively high (82; 6-month Dough), I'll be looking at TLT for a play this week (Aug 28 expiry). The current 1 SD lines are at about 123 on the call side; 109.50 on the put side, and it's ripe for a potentially productive short strangle (109.5/123 short strangle; Aug 28 expiry; 1.44 credit; BE's at 108.06 and 124.44).
The natural alternative to the BP intensive short strangle is an IC. A 108/112/123/127 IC, Aug 28 expiry currently will get you a 1.22 credit (BE's at 110.78 and 124.22). Unfortunately, there are no put strikes currently available below 108, so the puts have to be slightly skewed to the upside ... .
As of right now, I regard this as a neutral play in the short term. However, if we move more into a risk-off environment, it will quickly turn to the downside ... .
The natural alternative to the BP intensive short strangle is an IC. A 108/112/123/127 IC, Aug 28 expiry currently will get you a 1.22 credit (BE's at 110.78 and 124.22). Unfortunately, there are no put strikes currently available below 108, so the puts have to be slightly skewed to the upside ... .
As of right now, I regard this as a neutral play in the short term. However, if we move more into a risk-off environment, it will quickly turn to the downside ... .