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The Tao Te Ching helps me trade... Don't know about you.

Eurodollars, maybe Trsy futures... Those should be reasonably lively during all hours, really.

Well, I don't think it matters particularly how we're gonna pay for the good times. Pay we must and pay we will. I don't like it any more than you do, but that's just the way the cookie crumbles. You may disagree with the precise methodology used, but that's really neither here nor there...

Well, the question is really about how you perceive you can risk manage smth that leveraged and prone to potentially discontinuous "jumpy" prices. I remember being short some stupid teeny outstrikes once in 2007 (this was in Eurodollars). Wasn't pretty. Thank god it was a very small position.

Need to pay for the party, now that the punchbowl is more or less empty.

I can see this ending in tears. I'd also be very curious to find out how long you've been running this strategy.

Weigh them legs appropriately...

Yes, I remember... I think the world blew up and we had to stop :).

It all depends on a whole variety of constraints... If you want to run a single strategy, I imagine you need 4 - 5 PMs for $1bn and then maybe a couple of analysts for each additional $1bn. Problem is that you'll soon run into capacity constraints for this one particular strategy and you...

That doesn't make any sense, really...

I highly doubt that you could run $10bn with 4 - 5 PMs.

Since when have we started listening to Greenspan?

What is the definition of "significant" for you?

I still have a sneaky suspicion this is a "reverse setup".

In general (and this may be slightly off-topic), read Montier's excellent piece on "black swans".

Nah, nothing that dramatic. Finally, CHFSEK is moving the right way.

Sorry, correction... Parts 8-12 don't exist, part 7 does.

Yep, it's all about risk premia and supply dynamics.

No, they don't...

Also Antti Ilmanen's "Understanding the Yield Curve" series of papers.