FLASH BULLETIN:

If anyone did the TLT trade that I outlined recently, it has dropped dramatically to just below the call strike of 111. Last Friday, fearing some kind of wild breakdown in Treasuries, I bought a hedge: 200 TBT for each 100 TLT. This will mostly offest the decline, while still getting 100% of the return - monthly dividends and call premium. Probably not a great trade, for single-digit returns. Beware: although this freezes the TLT price (down on the TLT and up on the TBT, highly correlated), you must put a stop on the TBT, because the freeze melts above the call strike (remember - no appreciation on the TLT under DITM).