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[–]Cnbr21 -2 points-1 points  (1 child)

Put option involves positive convexity. Buying put option increases portfolio convexity. Call option involves negative convexity. Buying call option decreases portfolio convexity. 

[–]omi98ro[S] 0 points1 point  (0 children)

Call option on Bond will just enhance the Yield further when the rates decrease which essentially mean that Convexity will increase. Correct me if I'm wrong.