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The Emperor? A guy from the Orient? You gotta be kidding me, surely?

The answer is, unfortunately, "it depends". All sorts of things can happen.

As you can see from the scrshot, it's generally true that FX ATM vol is lower than Spooz ATM vol. There's a whole variety of reasons for why that's the case. The shape of the smile is a secondary consideration, as you say.

What specific strikes and expiries are you using? Generally, the attached shows the 3m ATM vols for the ccy and the Spooz.

They're part of the EMU. They will do what needs to be done.

Don't forget JOBS :)...

+1

No, they do the usual alternatives, like Garman-Klass, Parkinson, etc...

Even though I'm with kk on this, that's not the point. I wonder if you saw the question I asked you, specifically, on another thread?

Well, apart from the obvious issues (i.e. before the front contract becomes the front contract is it sufficiently liquid), it works the same with futures. You can use serial contracts, but the "stitching" isn't great. However, as Rodney points out, these things can be tweaked. Moreover, what...

It's nothing special, really... Just shows you the realized vols for the security in question over several different horizons, using a few different methodologies. Also it can overlay that with implied vols. I attach a scrshot for your viewing pleasure.

HVT function in BBG is the only thing that comes to mind.

How to lose money? Let me count the ways... It's always the same story and it's called hubris. Once you are a "Master of Macro" and a "Mkt Wizard", it's very easy to succumb to temptation.

I am not one to gloat, but here's a BBG headline from earlier today... BN 14:38 Siva-Jothy Said to Shut SemperMacro Fund After Poor Performance Full story should be available later on the BBG website, I imagine.

Here's the CBOT spreadsheet that gives you the conversion factors for every bond in the basket: http://www.cmegroup.com/trading/interest-rates/files/TCF021011.xls Once you have that and you know the bond prices, it's easy enough to figure out which one is the CTD. I don't think the exchange...

Hahaha, thanks for kind words, bone... Cyrix, currently the CTDs for Jun contracts are: 2.5% Mar13 for the 2y and 3.5% Feb18. This gives me an approx ratio of 1610 2y contracts per 1000 10y contracts.

Haha, Rick Santelli again... And yes, there's this effect called the "fwd rate bias".

The current CTD for the 10y is the Novie 17s, hence the ratio.

Investors care about making or losing money. If you're running FX risk, you might make or lose money on it. If FX risk is smth you or your investors don't care about and see it as residual, you should hedge, definitely. The issue of how to hedge most efficiently to optimize your transaction...

You bet it's for "personal reasons"... A few million personal reasons, I would imagine. The irony is killing me here! The great inflation fighter, the selfless, straight-talking, "I don't do diplomacy bullsh1t" uberhawk has been bought, hook, line & sinker. Of course, maybe he was...