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Of course it's going to be negatively skewed when/if it blows up. I guess my point is to equate MR RV with a short gamma, negatively skewed strategy (i.e. selling SPY vol), is not accurate in all cases. There are MR RV assets/strategies with return distributions different from that...

How are you quantifying this? I've seen MR RV return distributions that are positively skewed. As with all things, shouldn't context be the deciding factor - don't think that is inherently the case with all MR RV, no?

Considering the circumstance, it might not be surprising if this person is referred to in the past tense.:p

Totally agree, couldn't have said it better myself:)

You could do a time value of money calculation and literally find out if it's worth your time. IMO, I'd say that I probably would - I'm sure you've also learned many things you can't quite assign a $ value to.

By returning to a true bond market do you mean one where participants prefer to take credit exposure through cash bonds rather than CDS (in turn pushing the basis more positive)? Thanks.

Maybe I'm reading this wrong...but doesn't it look like it was misleading to imply this was a 'pure subsidy'? In fact, most of those rates are above .50% (though some are well below). http://www.federalreserve.gov/monetarypolicy/files/Single_Tranche_Term_RPs.xls

This was where I got confused. The implication is currently positive basis (or maybe I'm even wrong there), but he's known for neg. basis blowups (DB) - perhaps he's already in the black?

Thanks, that's helpful. I guess like all things, time will tell in the end.:)

Came across this piece giving a bit of detail on Saba's position in Greek debt and was hoping to get a few insights on it and Boaz. Based on this it seems he's long the 30yr, short near term bond(s), and locks in the basis with the recovery locks. Is that about right? If so, why is that a...

Haha, her and mizhael.

"Felix Brun Says: June 26th, 2011 at 7:07 pm this is your worst book so far…. and this is coming from a fan… i returned it after one day… it has nothing new in it…just a way for you to make some more money…fine but not from this pocket.. you lost a reader" Haha, that about right?

Hahaha. Instead of thinking in ticks/points, you could try to manage the position size in terms of percentage/volatility. Would that help and is that possible within your system?

Think about that for a minute and see if you could make any money using a line with zero volatility.

NM:)

Just saw this movie over the weekend and thought it was very good. It was pretty cool to hear about "game 6" in the world championships and how, even Spassky, applauded Fischer. I also thought the scene towards the end where he's talking with Jeremy Schaap is pretty brutal - it's almost...

...except for when it happened to Meriwether again?

Fair, though there's plenty of crap there too so be careful with that also:)

Just compromise and invest in REITs.

Awesome bro!