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Range-bound play in Treasury fund

Chris McKhann (chris.mckhann@optionmonster.com)

A large position is looking for range-bound trading in the iShares 20+ Year Treasury Bond Fund with shares near their lows.

optionMONSTER systems show that 15,000 January 100 puts were sold in one print for $0.88 this morning. This is a new position, as its volume is above the strike's previous open interest.  

Less than 2 minutes later, a block of 450,000 TLT shares sold for $102.75. Combined with the short puts , this creates a delta-neutral strategy that is short volatility .

The trader is looking for the TLT to remain range-bound and/or for the actual volatility to be less than that implied by the options. (See our Education section)

The TLT is down 0.83 percent to $102.87 today. That is right up against support and just off the exchange-traded fund's August lows.

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