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Yep... I think it's roughly $40b per basis point worth of duration. That's big, if it's true.

Month-end extension, if I had to guess.

Yep, I'm with you there, bone... 2008 was a massive lesson in the importance of sizing.

The projections are all coming from the French government, including the Tresor. Due mostly to budget cuts, more specifically contraction in govt hiring, pension reform and other such measures. Obviously, these are all measures the govt has promised. What actually happens remains to be seen.

How do you know that you're selling your straddles for the right price? In other words, how do you know this strategy actually makes money? Do you have a way of forecasting volatility?

Yep, sorry, mean 400,000 lots...

There's a rumor of a very large asset allocation trade that went through the mart. Supposedly 400 bags of TY sold to buy Spooz.

Yep, but like with all other RV trades the big bugbear is a risk of a balance sheet/margin sh1tshow. Then it's Meriwether time (if you're not careful)!

Thursday is also the last day of the month, which means bond buying by index trackers on month-end extension. Regardless of the good data, there's almost always some buying of bonds at the end of the day. Moreover, I have absolutely no idea what options you might be referring to. Sep TLT...

Wow, this is one of the best new words I have ever heard!!!! "ABNOMALY"!!!! With your kind permission, Senor BT, I'll be using that left, right and center from now on. Thanks!

Crazeee times, these...

I don't suppose you're familiar with such concepts as "rhetorical question" and "sarcasm"?

I am really not sure how this is related to your point about debt and interest payments. Maybe I am missing the point you're really trying to make.

Rightie-o... And your proposed solution to this sad state of affairs is to introduce more govt meddling? Is this correct?

That's silly... 10% govt deficit has very little to do with 2%-3% growth. Why on earth would you subtract govt debt from GDP? That would make accounting totally wrong.

I'm all confused... Aren't we all traders here? As traders, aren't we supposed to love free unfettered mkts which are the true engines of capitalism? Aren't we constantly clamoring for less govt intervention and regulation in mkts? Or does the above apply to everything but foodstuffs...

How can they announce a long-term schedule, given that the current asset purchase program (which is implemented through the POMOs) is based on re-investing of MBS and agency debt proceeds, which are uncertain? When/if they do QEII they'd announce a specific schedule, just like they did with the...

AEP is such a drama queen...

Actually, Posen in his speech recommended global coordinated QE.

Sorry, don't know about the excelforum d1 misnomer. For the Excel versions of all things Black-Scholes, I normally go with Collector's stuff (I mean Espen Haug). He's generally the authority on option pricing and his website has a lot of good stuff. See here...