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Huh? What does this have to do with bailouts? The article describes banks borrowing from the mkt, i.e. from private investors. Given how low yields are, it makes all the sense in the world for banks (and other corps) to issue.

Huh? This makes no sense... The cases of abuse described by the article were perpetrated by members of the clergy. That is a fact. Whether they were homo- or heterosexual is totally irrelevant (as is the gender of the victims). The point of the article (which you're missing) is that it...

One of the pitfalls is that regulators normally take a dim view of such things (although not sure how relevant this is in a retail context).

Sure, 'cause it's safe, innit? It's in a big vault, with lots of gold and chocolate.

But wait a sec, I thought the premise behind your trade was that there were all these spec longs that were going to have to liquidate their positions in the Sep contract? Are you telling me that all this time this was just a random punt on the state of the US eco? And what about the logic you...

That's the idea, indeed, although nobody (that I know of) uses delta measured in Eurodollar contracts for swaps. In general, people use DV01 and delta interchangeably in the context of portfolios of swaps and options. For purely linear portfolios it's all just DV01.

All sorts of cool lines out of old Bond movies come to mind... Villain: "Goodbye, Mr Bond" or Bond: "Do you expect me to talk?" Goldfinger: "No, Mister Bond, I expect you to die!"

If this is what unfolding disaster and weak demand looks like, I'd love to be the US Treasury (that's the chart of the current 30y UST yield for 2010)...

It's semantics, innit?

That's right... On a time horizon meaningful to me, the Chinese don't make mistakes, because of the sheer size of their reserves. Whatever they do, that's the mkt. The mkt is always right. Hence my conclusion. All this applies to govt debt.

Yeah, looks like there are other buyers of EUR periphery around. It's not just the Chinese. This is a pretty significant vote of confidence, I think.

Don't know about stoxx, but in my world these things occasionally might manifest in the shape of the skew. So, as MTE noted, it's not about violating put-call parity, i.e. calls trading at a premium vs puts. It's more about the relationship between the vols for strikes with different moneyness.

They're used interchangeably in the world of rates sometimes. DV01 is normally used to refer to the sensitivity of a position to a 1 basis point parallel shift of the yield curve. Thus units of DV01 are $/bp. Delta, on the other hand, is the sensitivity of a position to a move in the...

What sorts of books might those be? You looking for what ted spreads are, fundamentally, or some sort of a guide to trading schatz vs bor?

Thx, KS... I am not sure how that explains the dv01 of VIX futures, but I appreciate it. As to selling options, I try to avoid doing that, regardless under what guise the "opportunity" may present itself. Also, while Meriwether is indeed a blowup artist extraordinaire, I am all for trading...

I don't know nuthin' about no VIX futures, but I know dv01. "dv01 of VIX futures" makes very little sense.

Using the Dec contracts, I see the following exact sizes for the 2s10s30s fly: 113 ZTZ0:132 ZNZ0:22 UBZ0 That would be $10k/bp of the belly (using plain, not probability-weighted, spot DV01).

YOR, if you want to do the proper 2s10s30s, you're gonna need TUT & NOL, rather NOB. I can come back to you on the Dec weights, but using Sep should work OK. In case of TUT and NOL, it should be one of each. In case of TUT and NOB, your weights are correct, from what I can see. I can confirm...

True, that's only the state data with no national aggregation... However, you can get them all into a single .CSV file (by selecting "more formatting options" or something). You can then do your magic in Excel.

Non seasonally adjusted avg weekly hours etc are available on the BLS site here: http://www.bls.gov/sae/#data. Just use their data search tool and you shall find.