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sell convexity and duration

    • Sell calls on bonds you own, or sell puts on bonds you would be willing to own is selling convexity.
    • Assuming the options have not been exercised yet, has the portfolio duration changed compared to the original portfolio?
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When you sell calls, you are potentially decreasing duration. 

When you sell puts, you are potentially increasing duration.

The point is to increase yield and lower convexity. If the options dont get exercised, I suspect duration isnt changing.

125mph wrote:
The point is to increase yield and lower convexity. If the options dont get exercised, I suspect duration isnt changing.

It is.

Simplify the complicated side; don't complify the simplicated side.

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