Treasury Profits Strategy

  • Buys and sells options based on Treasury Bond ETFs
  • Uses a reversion to mean strategy (snap-back)
    • Algorithm calculates volatility & looks for overreactions
    • Initiates trades when there is an overreaction
  • Based on Research published by the FED itself (2008 NY Fed Study - How Economic New Moves Markets)
    • Some govt news releases have stronger impact on assets prices than others
    • Govt news releases can impact different assets classes unevenly
    • Govt news releases impact interest rates more than stocks
  • Treasury Bonds are not boring:
    • Small yield changes can drive big price changes
    • Options on Treasury ETFs can mean even bigger moves