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New data? How very strange? The CBO report states that their data on unemployment and the unemployed comes from the Current Population Survey (CPS), which the BLS has been conducting every month since 1940. The U6 number has been above 15% every month since Jan 2009 and it's rather surprising...

I am really confused by this... How and who would describe this information as "new"? What is the epiphany here, exactly?

These things are always a factor, indeed... However, you need to realize that the effect of these adverse factors on your PNL will vary. For example, riddle me this. We all know what happens when you do the whole gamma scalping malarkey. What instruments do you intend to use for you "vomma...

Dude, you have to remember that in the real mkt out there, there's nasty things like transaction costs, slippage, gaps, etc. All these things will drown whatever juice you expect to extract through vomma/vanna/vera/zomma/ultima/zumba/etc scalping.

Vomma scalping? You try vomma scalping and you might end w/o a scalp...

I think it's certainly a very different emphasis to what everyone was expecting. There were several things that he said that suggested that they're not going to cut for the sake of weakening the ccy, given the risks associated w/low rates. So maybe wasn't that exciting overall, but certainly...

Probably, but why?

Vega varies, indeed, but consider two things... 1) What you're doing here is producing an instantaneous PNL attribution, i.e. you're trying to explain your PNL at any given point in time, assuming that time freezes, so to speak, at that point. So a constant vega is not such a bad starting...

Very gentle chatter, to be fair... I couldn't contain myself, but I agree, it's a bad idea to congratulate oneself, generally. Hope you get better!

Yes, this is the gist of it... However, a couple of points: 1) Firstly, if your portfolio contains a whole bunch of options on a variety of underlyings, there really is no such thing as "IV goes up 2 pts across the portfolio". What you need to do is perform the vega times change(IV) for...

It may be a little too early and I may jinx it, but I do think a congratulatory pat on the back is in order (special thanks goes out to Governor Olsen for an award-winning performance, especially tonight).

No, dude... Think!! What is vega? What are the units of vega? If you divide vega by the change in IV, in what units is the resulting quantity going to be measured?

Dude, come on... Surely, you can answer this question yourself? Why don't you try? If you go astray, I would be happy to help...

Yes, then like neww said, take the average, et voila.

Yes, Ed, I am 100% in agreement w/you on the points you raise in the last paragraph. I don't know how viable the system is with all the issues you have described, which are serious and need to be dealt with. However, my view on this is these things will be resolved by the mkt eventually...

Move IV in parallel by one unit. Ignore skew, etc. To me vega is the sensitivity of the portfolio to a parallel shift of the surface (or whateva other term you use to describe your vol space). In fact, the more proper method, if you wanna be anal, is to bump IV up one unit and down one unit...

It is a very good piece... Grim reality, with occasional glimmers of hope here and there. That's probably what life is like.

This is what this article seems to suggest as well: http://www.nytimes.com/2012/02/19/magazine/the-way-greeks-live-now.html

10y JGB (JB320, i.e. 1% coupon 20Dec2021 maturity) yield is currently 96.1bps. And, btw, speaking of JGBs, what a spectacular (suspected) fat finger that was in futures last night!

That depends on the mkt. In the particular case that the OP mentions (i.e. trsy futs), everyone knows the assumptions, which is why vol does get quoted occasionally (not very often and people mostly use premia). In vanilla FX options, people mostly quote vol and not very often premium...