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This is silly, IMHO...

Well, the relationship is exists, simply because both are fixed coupon debt instruments. So, whatever other aspects go into the pricing of these, the sensitivity to interest rates is a common thread. But I agree that there are other aspects, such as the one you mention. Hence the fun, the...

Well, the issue you describe becomes more relevant as the relationship between the assets you're spreading becomes more tenuous. If, on the other hand, the assets have a strong relationship driven by fundamental economic dynamics (note that I would never choose to call these "arbitrage...

Nice... It's good to know that if everything does turn Japanese and fixed income stops moving, I might have a future in the horse biz.

Yep, RV is definitely much more my cup of tea than macro punting... I see no reason to believe that I have a much better understanding of macroeconomics than an average mkt participant.

Good luck...

Maybe these Japanese guys saw the "success" of the hedge fund known as SNB LLC and are having second thoughts.

Yep, he used to be at Merrill before that and he's an uber FI bull.

I think he should henceforth be referred to as the "Minister in charge of Stating the Bleeding Obvious".

Greeks only matter if you're properly sensitive to the mark-to-mkt of your position before expiry.

+1 Marx was a brilliant critical thinker, which is incredibly valuable. However, I don't think he ever offered a constructive and practical solution.

While I sorta agree with you here, what does this have to do with Pellegrini, who's a traditional macro punter, rather than high-freq? Or so I thought...

What exactly do you want to know, GF? Yes, there are people making money through this. There's opportunities to strap on some nice risk out there, but if you're not careful you'll be carried out. Lots of people who decided they were Masterful Macro Punters on 2009 are discovering that macro...

Short JGBs... You can even do it in futures. Be aware though that it's been tried a countless number of times by a lot of very smart people. Ended in tears almost every time.

Studying philosophy can help you improve, period. 'Nuff said.

I am not familiar with this expression for CRR, but, in general, there's nothing alien about it. The max function is under the Sigma (Sum), so this just means you calculate the max for every value of k between 0 and n.

+1 Hard to find advice more sage than this. If you think you've figured out some get rich quick scheme that the mkt completely missed, most likely you need to think again. It's infinitely more likely that you, rather than Mr Mkt, is the sucker.

Well, it's the same argument you were using earlier for the Sep-Dec futures spread, innit? The chart shows the yield spread between a 2y UST and 2y LIBOR instrument (vanilla IRS). Apply your reasoning to that spread which is, pretty much, at all time lows. Again, I won't have time to...

Big D, sorry, I've been very busy today, so couldn't respond to you properly. I will try to do so in the next few days. However, let me just leave you with two thoughts: 1) I am not sure where you're getting your feeds from, but the roll has moved down 1/4 tick (simply because rolls are...

Certainly true in hindsight. However, let me tell you, when these sorts of opportunities knock on your door, you, more likely than not, have more pressing concerns (such as staying alive/solvent). The reason that yields in 2008 went from arnd 0% to negative at times was that there was nobody...