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Certainly the potential to sell the underlying futures contract and lock in the current yield is tempting, but there can be a substantial margin risk for each futures contract We have covered a great number of option strategies, so now we can look at applying these option strategies to interest-rate problems, which in the years to come is likely to be an issue to combat in ation developed from low to zero interest-rate conditions As the yield curve begins to distort when the Fed raises the discount rate to combat in ation, short-term instruments may have value risk We know we can utilize several strategies to control the yield risk on medium- and long-term maturities where the yield risk is most substantial: Selling an out-of-the-money or at-the-money call premium Selling out-of-the-money calls brings in cash ow against a held long position Essentially you are creating a covered call of sorts in that you are long the physical bond and shorting As an example, the December 122 call option is trading for 4 21 or $4,328 per contract Selling this call option provides coverage for nearly a half point move in yield in nine months Not out of line and still leaves pro t ability up to 126 21 Buying put premium Buying puts in US T-bond options is an excellent oor for the value of this instrument The disadvantage to buying put options is the cost If we look at buying the at-the-money put option for December 2009, the quote is 6 15 or $6,234 for the 122 put option $6,2340 on $1 million in value This being the at-the-money put, we would gain at a 50 percent delta, but we have the signi cant risk of time value decay and volatility decreases asp.net pdf viewer control Pdf Viewer in ASP . net - CodeProject
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