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Reuters should be able to do it, I think... Try this for eod data: https://www.treasurydirect.gov/GA-FI/FedInvest/selectSecurityPriceDate.htm

Looks like the WSJ publishes smth daily: http://online.wsj.com/mdc/public/page/2_3020-treasury.html

Yes, my contract delta numbers were off by a factor of 10...

Given that Catherine the Great died at the age of 67, does that legend sound plausible to you?

So I'd need to divide the contract delta by 10, right?

Not that unreasonable at all, just a little cute to imagine that one could forecast how hard VIX can bounce if we have a proper sh1tshow, while also being certain that it can't stay where it is today. It's a very bigly bet that resembles a call fly in terms of its payoff, but is a lot more...

And that's why the guy sold more than 500k of 25 calls for 0.45? According to some (conservative) estimates I've seen out there, it would be reasonable to expect a 1 - 1.5 move in the VIX for every 1% selloff in the Spooz. You can do the math to see what our hero's PNL might look like on...

If it's for a real money account, it baffles me even more... Someone like an infamous "Fiddy", who just buys teenies as a hedge, I understand that. But this thing just looks like a punt, rather than a hedge. At any rate, they probably know what they're doing, all these people...

It's possible, of course, but unlikely, I think... People have been talking about this one and examining it closely, so it's hard to imagine that everyone got it backwards.

Ye, given the sheer size of this thing, it's baffles me bigly...

This trade's risk isn't necessarily limited to the number I've given. Its reward, on the other hand, is capped at the max given in the OP's article. This is what the payoff looks like at expiry:

Just as VIX is well on its way to hit a new all time closing low... If Oct VIX futures end up settling arnd where we are now, this trade will lose arnd $67mio.

Germany was considered the "sick man" of Europe during the late 90s - early 00s. A lot of it had to do with the price they had to pay for reunification.

Well, this may mark the top: *MANDATE: GREECE EUR BENCHMARK 5Y BONDS

I think I have seen stuff like this somewhere. although I recall it only very dimly. The only thing I can find off the top of my head is this: https://www.imf.org/external/pubs/ft/wp/2006/wp06104.pdf

The strangle expired... The buyer may have taken some of the delta off, since there were some large clips of TY crossed. Of course, it might have been the mkt-makers hedging, since it's never 100% clear.

This is a most amusing thread...

Yeah, could be... Like that Fiddy guy or smth. And yeah, that VIX trade today was pretty nuts...

It's was a block trade done by a broker for a client on the exchange... It was probably some HF BSD who did it.

Who knows, although it's unlikely that this person works in a bank, IMHO...