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On such long terms you allways better off looking at yields rather then prices, esp. unadjusted futures prices. Now, the yields have been coming off from the 80s, but so did inflation. Over the longer frame you will see that it's nothing more then reversion to mean.

Dude's talking about TED spread. Takes a lot of thinking to trade it, but it's a pretty interesting tool.

oops, right angle = 90, not 180 (did a literal translation first)... yep, then .5pi and it's 44 times in 24 hours (midnight and noon still don't count)

dude, there is only (at most!) one exactly-right angle per every hour. Also, the two hours do not show exact right angles (noon+midnight), so it must be 22 times. you can solve this by doing some simple fraction/radian math. in my opinion, this does not make me any smarter or suitable for...

Yep, i think in the "new world" of restricted Fannie and Freddie, demand for both gamma and (especially) vega on longer tails will be smaller then before. The right thing to do is probably to sell ATM gamma and buy wings, especially the OTM payers/puts.

Espens group (FI/FX prop) has been focusing on selling gamma this year, rather agressively. This sounds very much like somethig they'd do.

no, what actually happends is that they promote you to the point where you have to manage people and deal with corporate issues like budgets. it's worse then being called names and yelled at. to me, it felt like going from a dating (actual producing phase "you made 20 units for the desk, let me...

No, but you are forced to allocate a credit haircut for every counterparty trade. A few desks are using this to their advantage and are trading their swaps book as a CDS book. I don't know much about equity world, in the rates world you can't live without actually taking a market view...

their swaption desk got hammered this year, the head of the desk got sacked and the losses are rumored to be on the order of 200mm. I think all of their FI prop groups did not do too hot, needless to say the correlation desk P&L was a **** mess.

If you are trying to calculate the "futures" yield, you do need to know the CTD bond to do it well. If you do know the CTD bond, you can approximate by calculating the fwd bond price (futures * conversion) and then calculate the yield based on that price and delivery date. The yield will be a...

didn't read the first message, but the whole deal is to: a) determine CTD bond b) get the current price of the CTD bond c) calculate fwd price of the CTD bond using appropriate repo d) calculate fwd yield of the CTD using the fwd price if you do not have the current price and the repo...

right, they spend more, but they save more too. don't you for a second think that they are poor, these are the guys that will retire at 50 with a few tens of megs. there is a great book by A. Tobias, "Getting by on 100k a year", you should read it. i-bank is a pretty good place to work if you...

All right dude, let's do an american digital on that one. Say, I'll pay you EUR 100 if USD/EUR ever hits 1.5 by Dec 31st 2005; if it never goes there, you pay me EUR 50. 1:2 odds, since you are so sure. Put you money where you mouth is, would you?

it's very easy to be Kassandra these days - if you are wrong, nobody'll remember, if you are right, you can boast that you have predicted the "greatest crash ever". it takes a lot of balls to say - "things are going ok, but i see a weakness here", rather then produce Nth sigma crash predictions.

could you elaborate on that? do you mean asset confidence intervals?

we are seing a continuation of a credit driven flight to quality. i think G will go exactly as far as it will take to arrive to the neutral rate. if the next set of CPI numbers would come in high, i'd not be surprized to see FFs at 4 by december. as for inverted curve - if the CPI numbers would...

Bonds like series EE and I, they have their advantages (i.e. inflation protection and low cost putability), which should not be taken lightly. Zeros, in addition, are the best way to play yield curve and credit spread games.

Trading OTC derivatives is a very tricky game. If trading options vs. trading the underlying is like flying a plane vs. driving a car, then trading OTC derivatives is like flying a jet at night by radar. Derivative desks are filled with smart people, some are from very quantitative backgrounds...

does not make sense at all - a normal fund would take AM fee of anywhere from 1 to 3% and 10 to 20% of the gains. Why would they even think of hiring someone for on the conditions described?

Think of it this way - implied volatility shows how much the underlying is expected to change (non-directionally) per unit of time. So, if you have less time, you going to have less time to effect these changes.