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There's no need to be rude... When you say it's "what the option did in relation to the underlying", what horizon are you referring to (with respect to the time used to calculate the B-S delta)? Is that "what the option did in relation to the underlying" during the next hour, the rest of the...

Not gonna help... It's a complicated game being played, but inflation is definitely the big issue that can potentially force hands.

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There can be no corroboration because your premise is incorrect... To put it simply, I don't know what your "true delta" is. I have no idea what an "independent price model" of yours is. So you're essentially comparing a well-specified, albeit not perfect, quantity (the analytical delta)...

Yes, so ultimately it's all just a function of your view on future inflation. If it's low (deflation), there's no reason why 10y USTs can't trade at 1%, since everyone (including the Chinese would be happy to hold them). Clearly, if inflation is high, 10y UST yield should be a lot higher...

Well, it's now your turn to enlighten me... What, in your view, constitutes "substance" and which part of my response was lacking in it?

You got a bit of a circular argument there, I think...

Isn't this just using historical volatility for option pricing and, as such, is neither particularly original nor particularly interesting?

Yeah, SuperD's can price a whole variety of options, but some of their pricing is suspect. At any rate, I am not sure I understand what SuperD's have to do with the issue?

Abso-friggin'-lutely, 100% in agreement with you there... C is a disgrace that shouldn't be allowed to exist in the first place. Generally, what happened with the bailouts underscores the need for an orderly bank unwind mechanism. I have almost no hope that the US political system is capable...

Sure thing... By "apples and oranges" I meant that you're comparing an instantaneous quantity (analytical delta) that's based on a particular value of a parameter to a realized change in the price of an option over a particular period, during which the value of that all-important parameter...

No, it shouldn't... Reasons: a) inflation risk premium; b) expectations of Fed activity mostly impacting the belly of the curve.

That's not a model, but rather just a specific case of applying Black-Scholes for the ATM case.

Yes, they could cut the IOER rate, in theory.

Good luck...

Incidentally, there's been chat that they're potentially going to buy 30s this time arnd. Probably wishful thinking on behalf of some mkt participants.

I prefer to call these "counterfactuals", but yes, I agree with much of what you've said. There's, ultimately, no way of knowing a priori which course of action is optimal. Hence, there's no point having an argument about it, which is what I said in my previous post. These are all views and...

Yeah, I spilled some of that blood. But only in the second leg up, thank god. Stopped out at 118, 'cause it just felt wrong.

The Taylor rule calculations are subjective, in a variety of ways, since they depend on an estimate of the magnitude of the output gap. I actually agree with Gross on a variety of points he makes (which worries me, since I suspect he's talking his book and just wants the mkt to give him the...

They do it all the time and not just in 30y. As I understand it, that's the way they replicate the negative convexity of a benchmark mtge portfolio. Yep, 10s30s is a special beest, that's for sure...