(Bloomberg) The unknown bond trader who placed a potentially record wager in the Treasury options market may have just netted a $10 million profit. The $10 million worth of put and call options on 10-year Treasury futures that the trader purchased on July 11 expired Friday at 3 p.m. in New York. At expiry, the benchmark 10-year yield was about 2.23 percent, down about 15 basis points from when the so-called strangle trade was initiated. This kind of position gains value if there’s a major swing in prices in either direction. Futures prices rose to 126-10, representing profit of about $10 million for whomever made the bet, assuming they didn’t pare the position as it turned profitable.
Mystery Bond Trader Nets $10m on Treasury Strangle Gamble
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