The 15 - 25 1x2 call spread cannot be doing too well today, is what I was referring to...
Ooh-la-la, it's not a great day to be a mammoth... Looked pretty heroic for a bit there, did our proboscidean, but, alas, it was not to last...
This speech by a BoE guy talks about these things in a way that I found more understandable than the academic stuff (pages 3 - 12):...
It's actually a fascinating and rich subject... You can read some more recent stuff, where the conclusion is that for all these relative...
I think it probably can serve as a somewhat useful heuristic at extremes. I am pretty sure this isn't the case here and now, so it would be very...
Also, why compare with the T-note yield? If you treat your SP500 as a perpetuity with 3.78% yield, its duration comes out to arnd 27.5 years....
S&P earnings yield is certainly a bit more real than the definitely nominal return on treasuries. However, there is a lot more to the discussion...
If you have a halfway decent spreader, you should be able to trade them in any ratio you like, I suppose... And yeah, I agree, it would make...
Yeah, so even if you use the 50:50 weights (as suggested by Bobbybax), it's still a very asymmetric fly, which makes it a tough one. This is the...
Funny how this works, eh?
It's a little bit of a funny beast, this one... You're doing a 5-7-18 fly which, by virtue of being so asymmetric, will be driven mostly by the...
Fiddy is long these far out OTM wings... He's long the liquidity option, obviously. Partly, that's what this trade is all about.
ETFs might work, but you'll need to be careful about all the ETF'y features, like tracking errors and/or costs and the like... It's not clear to...
Not really a good way to do it, tbh... If you could get some liquidity in the far out ED contracts, maybe you could do something. Any method you...
1) The dynamics of spreads are complicated... It's a can of worms and it would take a long time to describe all the relevant aspects of doing a...
There are all sorts of interesting measurements that people have attempted to use, instead of GDP... It's a work in progress.
Exactly, I think it's a fascinating look at the world's economic history, which China dominated for a while. I find it all quite interesting.
You might like this chart, @Sig, from Angus Maddison, may he RIP (it's one of my favorites and I might have posted it here before): [ATTACH] You...
Calculated Risk is one of the best blogs on the US economy (and housing, in particular) out there... Moreover, it's reasonably light on opinion...
Just for the heck of it, this is a pretty good post on the subject by a very thoughtful blogger......
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