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don't take me wrong, but i'd not buy that one. running cap at a fund most certainly beats any prop shot i've dealt with. let's see - mid-size HF would be aprox. 150mm, say you make 20%/annum and take 20% of that home.

done :)

well, an ivy grad that goes to a prop firm is not too bright to begin with, since he could not get into an i-bank. my general sense was that propsters in real prop firms really do know how to trade and probably would be welcome in a mid-size hf.

well, if you believe this is a temporary dislocation that will revert to "normal" soon - be a hero and sell equity protection vs. buy mezz. You can be delta neutral (at least in theory), pick up 200-250 bp carry, and take out enough cash to account for about the first 3 defaults in the CDX...

No, that's not it - it's coming from CDO world "equity vs senior", not stocks vs bonds. A number of hedge funds engaged in what is known as "correlation trading". The structures that provide for this kind of trading the best are CDO (Collateralized Debt Obligations). CDOs in a sense are baskets...

Not really. All that these people are doing is trying properly price historical correlation vs implied correlation (implied by the differential between equity and mezzanine yields), which is pretty similar to pricing implied volatility vs historical. A whole bunch of people are selling...

I just saw Kudlow (or is it Cramer - the fatish guy with goatee?) on TV and he had no clue either, was babling about investors taking money out or something. So I guess I should explain. While this was a credit related problem, it was not specific to GM. Let me explain one more time, this time...

Strategy wise, it was nothing unusual, many funds seem to have these one - long credit risk via equty tranche of iTraxx, short credit risk via mezzanine tranches. The shit has been flying since the early april - equity tranches are trading down close to 20bps, while mezies are much tighter, due...

EDS (equity default swap) is exactly that - a digital far OTM put. CDS is more of a bond spread product, you can think of a long CDS (get protection) as a long position in treasury, short in corporate, swapped into floaters.

I happend to know the guy personally. Even though I disagree with him on variety of topics, I really do like him. He is a bright guy and has been around the street for a long time, certainly longer then me and almost-certainly longer that anyone on this board. Experience counts in this business...

Oh, as one lady (swaptions trader, if i recall correctly) in Citi used to say "first we cross em, then we spread em". Truly, the words to live by.

Hmm. The swap spreads actually rallied in the past few months, first we went from 40 bps down to 38 but then to 44.5 in the past month. Similarily, bba credits rallied to like 110 from about 170 but then sold off a quite a few weeks ago back into lower 180 as GM story came up. that's what I see...

these days, i'd actually favor a 2s/10s steepener in puts out of all things. it can be done in green midcurves vs 10s too. if the carry is right, it's a winner - i can't imagine 2s/10s getting flatter and can't really see fed moving too fast, so losses in short flattener in puts aren't really a...

Oh, that's where you're going - GM is a very liquid name and people are tracking it rather closely. I'd not be surprized if every once in a while credit/paper market will be a touch faster then the equity market. It might be an interesting thing to look at - is there a lagged correlation between...

Mark Davies's group is very active in single name CDS, they are now merged with corporate desk, so the color on CDS direct from them should be pretty good. As for being an indicator of any sort, the only time when CDS can really be predicting the movement in underlying company is when the...

I'm in process of buying an appartment in Manhattan, even though I am semi-bearish on RE (I don't think it will crash, but I do think it will not grow as much as in the recent years). However, anyone who thinks that we will see a major softening, might want to consider a macro hedge for the RE...

Well, imagine you take this job at whatever salary they are offering you. Let's also imagine that you are moderately good at making money, and in couple years you are making a couple hundreed per annum (which sounds like what good prop-shoppers make). What's your next step?

PV = (-1) FV = 6.6 n = 114 therefore i = 1.67 (%) its not linear anyway, so im not sure it matters anyway. [/B] oops, i was taking 660 percent :) ln(6.6)/114 is more or less around 1.65. my bad

How did you get 1.67%? Even if you take continuous compounding, the appreciation is R=ln(66)/(2004-1890) = 3.67% (or something like it, don't have my calculator with me).

it's driven by their swap business