I don’t think the recent blow-off in Treasury bonds is over. I created a bear spread on IEF (7 to 10 year Treasuries), selling-to-open January S90 calls at 3.24 and buying S94 calls at 0.41. The net credit was $2.83 and the worst case loss is $1.17. The spread for this combo order was bid 2.65 and ask 3.05. I tried credit orders at 2.90 and 2.85 before I got a fill at 2.83—which went immediately when I put it in. Seems fairly typical that if I give the market maker a nickel more than splitting the bid/ask difference (2.85) the order will fill. I like combo orders rather than limit orders because I don’t have to commit to a price for a specific option, the market maker has to make that trade-off.
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