Are they also long the cash/futures? Is this basically a synthetic equivalent of a callable treasury? They are extending duration on sell-offs and...
hey mcurto- Is there any talk on the floor about the June bund getting close to a key level of 117.25. According to my continuation chart, a...
hey mcurto- Seems to be some rather brutal selling going on in the front end. Did some players get caught with unhedged steepeners on?
Does anyone know why, over the last few months, the exchanges have been offering options on some of the lower volume ETFs (e.g. Vanguard, Rydex)?...
hey mcurto- I saw a reuters story that said two year notes are "on special" in the repo market resulting in a negative carry cost of 15bp. The...
Hey mcurto- It would appear that the curve is flattening somewhat. Is the floor fading the steepeners? I assume that there are some moderately...
OK, so my vol arbitrage theory is somewhat fanciful. Do you think the trades are an outright bet on lower vols or some kind of manuever to hedge a...
Are we only seeing one side of the trade? Are the straddle 'sellers' in treasuries, straddle 'buyers' in spread products? If you got a spread...
I would be careful of this sell-off in the long end. It is my understanding that corporate supply will be picking up in March (this would be...
Hey Steve- I tried trading the March XT options. When I attempt to transmit an order, I get the message "No clearing rule found". This is a...
One question: maybe I am missing something, but at what point does inversion cause a flattening trade to become a negative carry trade? Also, I...
Hey mcurto: Are the mortgage traders setting up for higher vols? Do you think that an inverted curve is correlated with higher implied vols in...
Hey mcurto! It appears that mortgage guys have been very active hedging convexity risk last couple of days. Can you see any indication from...
I thought most mortgage hedging was in the swaps market where you can create a infinite amount of supply at a price point (since the whole thing...
upgraded to 851... it works o.k.... however, one annoyance - in the bid/ask size fields the size is shown with a "," if over 999. This is...
Is liquidity on the floor looking better than the screen? I assume that because support/resistance levels on the 2-10 & NOB are so hard to figure...
Hey mcurto- do you think we will see a significant move up in 10yr/30yr implied vols. before Friday's shortened trading day? It seems like the...
Hey mcurto, any comments on the article? http://www.nytimes.com/2005/08/07/business/yourmoney/07gret.html? Also, I am curious to know if you...
Thanks for the explanation mcurto, I was hoping that you would see my post. I suspected that only Wall St. prop desks could pull off such a maneuver.
So the CBOT is putting limits on position sizes ahead of expiration. See http://news.ft.com/cms/s/268a1dc0-ed85-11d9-9ff5-00000e2511c8.html...
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