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position was rapidly moving toward the price of the 1-year bills
whereas the March future had a substantially longer time to
expiration, so Tandrill had an opportunity to profit further on
this spread if short rates stabilized or fell. According to Mr.
Borst, Tandrill was also well positioned with its options spreads.
Tandrill’s Trading October 31-November 15, 1979
As of November 15, 1979, Tandrill had completed the unwinding
of its credit spreads. As short-term interest rates continued to
rise, the results were worse than anticipated. Tandrill, however,
had approximately 150 basis points locked into its futures spread.
Thus, Tandrill “took off” some of these points by covering a part
of its short position and realized a $13,000 profit.
Tandrill’s Final Trades: November 19-December 7, 1979
Tandrill closed out its last options spread over a 5-day
period in late November. It did not adjust its futures position
until about a week later, effectively switching its position from
bearish to bullish, as it held one extra December Treasury bill
future. On November 28, 1979, it sold 26 December Treasury bill
futures and bought only 21 March, shifting again to an aggressively
bearish stance, as it was now short ($1 million worth) of Treasury
bill futures and held that position until December 7, 1979.
Tandrill was unable to buy the rest of its Treasury bill
futures spreads at 50 basis points, but rather, it had to pay 90
basis points for 21 spreads on November 28. Through its
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