Recent content by Art_Vandelay

about 4.07 given today it traded through 100. but bkr88 above is right, kind of meaningless as the underlying securities shorten, the etf extends out, and px falls as they pay dividends. you can do a back of the envelope calc with (years of duration * rate move) to get a % return of the...

thoughts on cocoa bull spreads? back months have been rolling up, mar/may seems like decent risk reward given recent front month spreads end up around 1.5k -> 2k. H5K5 329 now.

For shorter holding periods (days - couple weeks) you can ignore the higher moments and use the yield changes, size it to some level of DV01 risk. For example you have $1000 of DV01 risk and yields move 3bps you can assume 3k pnl. For longer holding periods (weeks/months/yrs) you might want to...