Search results

The ghost of Bachelier lives. That is the arithmetic spread: the historic geometric spread is considerably different, and if anything, suggests the long rate is about fairly priced. And since markets generally overshoot on the macro trends, it should squeeze tighter.

The never-ending US demand is no longer being fueled by internal economic development as it was immediately after WW2, when the capability differential between the US and every other continent was increasing. It is now being fueled by increasing leverage and hammering down costs of goods by...

They were discontinued in 2001, but the decision was made several years before. The reason was simple: the Clinton administration, in conjunction with the Congress of the time, had actually managed to make great strides in bringing down the deficits and so they didn't need to sell as many...

Of course, and under the scenario in question it is nothing more than the trading of a breakout against a fade. There are no derivatives involved in what the OP is describing, this is as vanilla as it gets.

There are only two things intraday blackboxes can do: fade ST breakouts, or take them. Both are dependent on the "right" macro volatilty regime, which we've had, but is now coming to an end. There are chat boards loaded with guys trying to trade blackboxes just like the one you describe, it's...

Sounds like a homebrew faux-MM system. Be very very careful, such systems coming online right now are grossly overfit and will get slaughtered now that volatility has run out of room for signficant declines.

Skinny Puppy - Assimilate, Glass Houses, The Choke Front 242 - Funkhadafi, Take One, Commando, Hey Poor Jesus Is Here Portion Control - Raise the Pulse Einsterzende Neubauten - Yue-Gung (Fueter Mein Ego) Frankie Goes To Hollywood - any single Ministry - Just One Fix Psychic TV - I.C. Water...

Making the case for shorting US bonds is easy, and you make it eloquently and succintly. Making money doing the actual shorting, however, is a different matter entirely. Normalized LT/ST spreads are only now returning to historical norms, and since these macro trends generally overshoot, history...