Bond selloff has stalled this week, with only PMIs in terms of data releases and FOMC minutes. I view this as a consolidation, as flows are inching bearish. CTA asymmetry skews bearish on any further selloff, and flows have been buying puts. These dynamics can cascade a 5-10 bps move to a 25-30 bps move.
March 15th TY 109/108/107 put fly is 2/64. Max value comes at 108 strike, which is 2 pts OTM and corresponds to a ~4.55% 10yr yield. Obviously, it is unlikely we perfectly land that strike, but I do expect some support and buying interest at those levels.
For a longer term move, I also like the April 109/108 put spread at 12/64 for a 5.3x payout at current pricing (note: I bought this at 6/64).
Really enjoyed your Forward Guidance podcast. I'd love to learn more about how you structured and maintained your options trade that allowed you to both keep premiums and participate in any upside.