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I don't want to beat a dead horse, but with regards to comms, I was also a little concerned before taking this trade, but I realise that I had absolutely no reason to be. I wasn't able to get into the second leg of the trade and missed one of the adjustments, but in total I traded 80 contracts and paid around $37 in comms whilst earning around $1,040 in profit. My capital at risk was around $2,500, so the comms made up a mere 1.5% of the whole trade. I couldn't ask for anything more. (I'm with IBKR.) Due to low comms, and good liquidity, I see this strategy is very scalable. Not sure what the official guidelines will be for the upper limit, but once I get comfortable with it, I'll be scaling it up significantly. The next bit is not a recommendation, but just an FYI..... I wanted to see if I could replicate the trade using the the 10 year future, /ZN, cos TMF and /ZN follow pretty closely as the below chart shows (the bars are /ZN and the line is TMF). So, I sold a CCS on /ZN - to my surprise the comms were much higher on this than on TMF options. Plus, there are complications in trading futures options (need to close before First Notice Day, delivery, etc), so I will not be doing this going forward.

This discussion is very insightful. Thank you.