Attractive Interest Rate Play With Treasury ETF Options [View article]
You are forgetting the calculate that the short bondholder has to pay coupon interest on the short position (this amount will be distorted because TBT uses swaps contracts but will be present anyway).
TBT is 2x levered so there are 2 bond coupons to pay. A 2.65% coupon this means that TBT will decline in value by 5.3% per year, all things being equal. Plus the ETF management fee.
Over a 2 year time horizon this implies an estimated decline of 10.6% before fees if interest rates remain constant.
Attractive Interest Rate Play With Treasury ETF Options [View article]
TBT is 2x levered so there are 2 bond coupons to pay. A 2.65% coupon this means that TBT will decline in value by 5.3% per year, all things being equal. Plus the ETF management fee.
Over a 2 year time horizon this implies an estimated decline of 10.6% before fees if interest rates remain constant.
Any rise in interest rates must overcome the