TLT call buying….comparison with 30 year treasury yield
Below is a chart of TLT etf and the 30 yr Treasury yield. TLT seeks to track the results of US treasuries with remaining maturities greater than 20 years. Over the past two sessions there has been reasonably large buying of Feb TLT calls. Yesterday the Feb 126c were bought in size of 105k and today 50k of the Feb 127 calls bought. The expiration date is 17-Feb. Currently the Feb 127c are $0.34 with the underlying at 117.70. According to my (unscientific) chart below, the 127 strike is somewhere around 2.80% vs current yield of 3.13%. These levels would represent a fairly significant retracement of the recent surge in yields.
USH treasury options expire one week later on 24-Feb. In the USH contract, a move to 2.80% would put us somewhere around the 156 strike, currently 0’33/0’35 ref 148-21.
NOTE: This graph is just for the purpose of exposition; I did not look at specific calculations for yield levels and comparisons between bond futures and the etf.
