Max Profit on Setup: 138/contract Max Loss on Setup: 262/contract Break Even: 35.62 vs. 35.69 spot Debit Paid/Spread Width Ratio: 65.5%
Notes: Basically, shorting treasury strength with the inverse instrument ... . Here, I'll look to take profit somewhat quickly, since I've only got one roll opportunity with this setup. I ordinarily like to do these as skip months (e.g., August/October) to give me more time to be right and more roll opportunities, but there is no October expiry available yet. You can naturally look at doing a similar downward put diagonal in TLT.