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Yeah, I saw it on Bloomberg this morning - really nuts. Someone must benefit from it, right?

Oh, really? Pop-quiz, hot shot - whats feature makes the basis in ultra-long bond futures a tiny bit more expensive?

Obviously, there isn't one since it's settled on a cash print. That actually makes the print a very scary risk since CME don't have a functioning EFP market for bitcoin - if you can't smack the print exactly, you can very much get fucked. It's a very scary trade, similar to VIX/strip...

There is a reason why EFP market exists - it's not really risk free rate but more like the mean funding rate for delta-one desks. The futures trade at a premium to spot becuse of the inability to immediately collapse the arbitrage and thus exposing you to a margin mismatch on a tail move. The...

That's what they call each other, btw :)

The post-Black Death period (1350-1450) was a period of sustained price deflation. Similarly, when the plague returned to Europe in the seventeenth century, it was followed by a period of price deflation. More recently, Japan has experienced deflation over a period of several decades.

I was not aware of that, so I assume it was mostly in Europe?

They did, but if anything, that reinforces @volguy27s point. In a perverted sense, div swap is an equity volatility trade - i.e. even if it does not have a headline Vega number, the crowded exposure comes on the back of options/SN positioning.

Really, we gonna do this the adversarial way instead of an adult conversation? Overall the write up was very reasonable, even if short on detail. I was simply making constructive remarks that are based on the fact that I am an EQD specialist, was involved in most of these situations and know...

Was not a personal swipe by any means, just felt that it was in general very light on detail and got some stuff factually wrong. My suspicion is that you are a very broad volatility specialist and were not involved in these markets. Off the top of my head: * Capstone Asia losses where...

Very easy. Sell rich vol, buy cheap vol. I am gonna let you work out the details on your own :D

"has been proven"? Could you quote a paper from a reputable scientific journal?

I thought it was an urban legend - I'd be surprised if a shop like RenTech would research strategies without a strong prior.

In short, you don't want to get involved, even at the puny level of ~1k/year that even WSB retards can apparently afford. Instead you stand back and scream that some harsh government intervention will solve these problems.

It has expanded beyond gorillas, apparently they are going across the wildlife now. I am delighted and disturbed at the same time - both I and WSB retards are doing the same trades :)

la vérité est que la vérité est compliqué

la vérité est la vérité est compliqué

Only if you can borrow or lend money elsewhere at different levels :) e.g. if you can borrow cheaper than Fed Funds

There are plenty of true arbitrage opportunities across the market. These days they are usually small and require manual work (which is why they exist) but they are there for the taking by anyone who has the desire the get involved. For example, off the top of my head, I can name 4-5 products...

bloomberg me tomorrow?