back tested a option position from 1-15-25 to 1-15-26. consists of -100tmv 55puts and -140tlt 97puts. $309K in option sales. obviously the overwhelming majority is intrinsic. thats the point. you want the short puts to act like long deltas. there is some obvious blow out risk if rates would have had an extreme move last year. without any hedging and collecting a modest 3% on cash the trade would have earned $5700. That's after the obvious decay in tmv. Putting in hedge parameters that would buy or sell tlt when the position was net +/- 1000 tlt equivalent deltas. when that parameter was triggered i hedged half of the deltas. P&L for the year was $35K. Have on the tmv 50puts -280 and tlt102p -360. Plan on using the same hedging parameters. There is cross margining benefits at least with IB Not concerned about a 3s move. I've got plenty of treasury gamma in my core position. Comments are welcomed
https://preview.redd.it/obwvdazceqdg1.png?width=874&format=png&auto=webp&s=d89de5a79d4b0f09b1c3aef0aa7068e3fe5b44bf
|Date|TLT|TMV|Net\_delta\_before\_trade|Hedge\_trade\_TLT\_shares|Hedge\_position\_after|
|:-|:-|:-|:-|:-|:-|
|2/5/2025|89.89|36.46|1831.79|\-915.90|\-915.90|
|2/25/2025|91.42|34.73|1687.25|\-843.63|\-1759.52|
|2/26/2025|91.96|34.15|1099.76|\-549.88|\-2309.41|
|4/4/2025|92.85|32.35|1238.25|\-619.13|\-2928.53|
|4/8/2025|88.35|37.30|\-1594.07|797.03|\-2131.50|
|4/10/2025|86.42|39.81|\-1951.22|975.61|\-1155.89|
|4/21/2025|86.00|40.44|\-1262.87|631.43|\-524.46|
|4/25/2025|88.89|36.79|1059.07|\-529.54|\-1053.99|
|4/29/2025|90.20|35.15|1255.32|\-627.66|\-1681.65|
|5/8/2025|86.92|38.82|\-1080.18|540.09|\-1141.56|
|5/12/2025|86.24|39.89|\-1017.95|508.98|\-632.59|
|5/14/2025|85.32|41.18|\-1112.19|556.10|\-76.49|
|5/21/2025|83.97|43.18|\-1503.43|751.71|675.22|
|6/4/2025|86.39|39.36|1006.98|\-503.49|171.74|
|6/24/2025|87.40|37.89|1166.02|\-583.01|\-411.27|
|6/30/2025|88.25|36.94|1031.22|\-515.61|\-926.88|
|7/15/2025|85.01|41.01|\-1399.30|699.65|\-227.23|
|8/1/2025|87.82|36.90|1167.44|\-583.72|\-810.95|
|9/8/2025|89.74|34.62|1615.61|\-807.81|\-1618.76|
|9/11/2025|90.34|33.96|1103.84|\-551.92|\-2170.68|
|10/16/2025|91.34|32.61|1118.79|\-559.39|\-2730.07|
|12/5/2025|88.17|36.15|\-1030.18|515.09|\-2214.99|
|12/12/2025|87.34|37.27|\-1016.68|508.34|\-1706.65|