Implied Volatility Rank (IVR) across the U.S. Treasury complex remains at multi-month highs. To capture elevated option premium across the yield curve, and play contrarian, we are expanding our short delta / premium-selling footprint by adding a short put position in 10-Year Treasury Note Futures (ZNZ26) alongside our existing short put in 30-Year Bond Futures (ZBZ26).
Note for those expanding into ZN/ZB: A short ZN put behaves like roughly half the dollar risk and volatility exposure of a short ZB put.
Strategy: Short 1 Put
Expiration: 23 OCT 26 (18 DTE)
Strike Price: 103.25
My Execution Fill: 0โ21 ($328.12 gross premium collected)
๐ Quantitative Metrics at Entry
Delta (ฮ): 0.32
Implied Volatility (IV): 7.28%
IV Rank (IVR): 73%
Probability of Profit (POP): ~78%
๐ ๏ธ Structural Management Targets
Profit Objective: 50% of max premium
Defensive Plan: If the underlying breaches the 103.25 strike, our rule dictates rolling out in duration to the next liquid cycle for a net credit, or cutting the position if tail-risk thresholds are exceeded.