Thursday, 28 January, 2021
Pin the tail on the long end
downside interest to pin the TY 137 strike into expiry
initially looked at TYH1
137.5/137/136.5 p fly 4/5 . . small shrt vol and better risk return than being long vol on shrt dated 137/136.5 ps.. so liked it as the access point for a 137.5 p
then looked at the roll up
week 1 137.5/137/136.5 is 7 mid
week 2 137.5/133/136.5 is 5 mid
so we would look to buy the week 2 version for 5/64
max upside 32 and 137 been a reasonable pivot so gives us a good short with nice roll up with just 2 weeks till expiry
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