The theoretical price to earn a zero return is 130 (the duration is not infinite, it is bounded at 5yr). Perhaps some repo implications if yields...
Does anyone (mcurto?) have information why there is significant OI in the March 162-210 strike calls? It looks like those prices are corresponding...
Hey mcurto- I saw where swap spreads blew out today across the curve with treasuries actually selling off. Wow! I don't remember a day like...
It would appear that Big Ben has totally lost touch with reality: (Reuters) - Federal Reserve Chairman Ben Bernanke told Congress on Wednesday...
Given the amount of leverage that Goldman et al. have on, 100k put position is like plugging Hoover Dam with a piece of cork.:) It could run much...
hey mcurto- After Monday's rather pathetic volume, it does not seem that the spec accounts are very active on the short side (not much covering...
The front-end of curve is most vulnerable to short covering. The middle/back-end is tough because with credit spreads this tight, it is difficult...
This item is from today's FT: Market volatility, as measured by Merrill Lynch s MOVE index of 30-day Treasury options, has fallen to a record...
DALLAS, April 16 (Reuters) - Dallas Federal Reserve Bank President Richard Fisher said on Monday the United States faces grave fiscal challenges...
The largest vendor financing scheme in history continues via the U.S. debt market. BEIJING, April 12 (Reuters) - China's foreign exchange...
It looks like Ben & Co. are telling the market that the Greenspan put has a very high strike price. With inflation at these levels, I did not...
It certainly seems that the recent selling in credit markets has really been concentrated in synthetic credit instruments. Are these leveraged...
Seems like a pretty silly reaction by the bond market. West of the Hudson River, core CPI is well above 2% and economic growth is doing fine....
The state of the thread and the state of the markets would seem to be the same. Cheers!...
I was looking at implied vols in the SPX, QQQQ, and IWM today. It appears that option sellers are moving away from SPX and heavily selling QQQQ...
Another reason why this could possibly be a turning point in bonds is the action in the Euro. The last couple of weeks the dollar has moved...
It looks like OI on the Mar 106p did not move very much on a net basis. But I assume that convexity hedging was also active as 4.85 was taken out.
I would think that the large short gamma would be very painful today. Seems difficult to hedge.
I think that going forward the biggest problem for middle to back part of the curve is that over the last few years you have probably lost money...
Maybe someone out there can explain if the SEC review (see link: http://sec.gov/rules/other/2006/34-55011.pdf ) means that the fees for Arca book...
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