Strategy: Close Partial Position
Expiration: 25 SEP 26
Strike Price: 108’00
My Execution Fill: 0’30 ($468.75)
📊 Quantitative Metrics at Exit
Gross Transaction Realization: Profit of $156.25 or ~25%
Days Holding Position: 11 Days
🛠️ Core Exit Logic
With current implied volatility dynamics across 30-Year Bond Futures, option premiums were pricing in elevated risk. Legging out allowed us to extract value from the elevated extrinsic pricing on the long leg first (108’50), and now capture decay on one of the short legs (108’00) as time decay progressed along market collaboration, something a rigid single-order exit would not have realized efficiently.
At 18 DTE, options enter an accelerated stage of theta decay, but short options near the strike also carry rapidly expanding Gamma risk. Buying back one short 108’00 Put at 0’30 ($468.75) and locking in a 25% profit on that individual short leg immediately cuts both total position Delta and Gamma in half. Eliminating half the Gamma exposure is critical at 18 DTE to protect against tail-risk volatility expansion in bond futures.
The trade has now fully evolved from its original 1x2 Put Ratio Spread into a single 1 Short 108’00 Put with an ultra-defensive cost basis, provided by the 25% profit from the recent closed leg. We will closely monitor in order to close or to roll to October taking advantage of the high IV and IVR in bond futures.