Strangle selling in US treasury 10yr. options.

Strangle selling is risky business to say the least but the rewards can be quite rewarding.Take a look at some of the trades highlighted on the dial and the spread sheet below of particular interest note the trade from Feb. 20 earlier this year. House 560 which is Merrill Lynch sold 3K of the June 119 - 127 strangles at a price of 2.16. That is $2,250 per strangle. As can be seen in the dial below prices of the June futures have mostly traded between 120 and 126, therefore the price of the strangle has declined since that time. It settled at 35 tics yesterday or $546.87 per strangle. Using this method to visualize options strategies can be helpful but is no substitute for discipline. The accutic alerts

can help in monitoring larger flows, and the impact on volatility. Selling strangles in a high volatility market again is risky, however as time goes by and markets settle into a range such as we have since the explosive rally after the March FOMC meeting, they offer a good opportunity. www.accutic.net.