TRADE IDEA - US Oct 30y (USV) Vol vs US Oct 10y (TYV) Vol

Futures Options Trade Idea

Futures Options Trade Idea

Implied Volatility play between USV and TYV


Trade Idea: 


Oct19 U.S. T-bond 164.00 straddle vs Oct19 10y Note 131.00 straddle

The Implied Vol play between USV and TYV looks to be at an interesting level that might be worth a look. Also, the skew on both contracts is pretty similar, so if you have a view on the 10’s/30’s curve here, the similar Vol might be useful for directional trading ideas.

Skew delta overlay

Performance (beta feature)

Trade returns .189 (decimal) over 3 years, obviously it’s very exposed to 10’s/30’s curve moves, hence the swings.

Trade booked for monitoring, we used vega for hedge amounts



Just remember, this is a trade idea only and not investment advice. Do your own research and consider your risk tolerance. Know your risk.

Disclosure: We may have trading positions in the same or highly correlated trading structures. 



About the Author

George Austin is a co-founder of Pricing Monkey. Pricing Monkey provides financial derivative pricing and analytics software that helps improve understanding of complex derivative positions.