Examination of long-term Bond iShare option selling strategies

David P. Simon

This article examines volatility trades in Lehman Brothers 20 Year US Treasury Index iShare (TLT) options from July 2003 through May 2007. Unconditionally selling front contract strangles and straddles and holding for one month is highly profitable after transactions costs.

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Year of publication:	2010
Authors:	Simon, David P.
Published in:	The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 30.2010, 5, p. 465-489
Subject:	Staatspapier \| Government securities \| Volatilität \| Volatility \| Optionsgeschäft \| Option trading \| USA \| United States \| 2003-2007

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Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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