Search results

What a fun day.... I lit up the (institutional screen) right after the the purchase breakdown came out with a very small size 5s30s steepener (so, I basically put out a request for quote for buying 5y bonds vs weighted amt of sell in the 30y bond)... only 3 out of the five biggest dealers even...

Good thing I went into this thing long 5s and added to a 5s30s steepener; Sitting happy :)

He has. Numerous times in both his own speeches and the speeches of other Fed governors. So, not to put words in his mouth: (1) Creating wealth - not directly; QE2 is aimed to avert a second dip recession. Recession is obviously wealth destroying. (2) No. QE1 was about liquidity. QE2 was...

Agreed. But that's a worry for then.

Price will drop when demand disappears. That's pretty obvious. I'm not sure if it's 'artificial' in the sense that this is the whole point of monetary policy. Rates will go higher when things goes back to normal - that's a given - but the question is how long normal will take to materialize.

... I'm staying flat into the announcement and going to lift if the announcement comes out as expected or better. Who cares about the first few bps if there's a lot more to run after. I can tell you most (dealer) desks are neutral or long going into this thing (with a few notable, insignificant...

That is a dangerous move there.... while you are generally right about being cautious while the market consensus is near 100%, this is a scary case: if the Fed disappoints, it destroys the credibility of the Fed and their new 'communication' channel (that Bernanke championed). Further, the...

If you buy the ATM call and sell the ATM put, your net delta should be around 1. Just size it up from there. You'll be mishedged as the underlying moves, but that's the cost you pay. As you why you would want to do that, you'll have to tell us.

There's no optionality in what you are trying to create. So wouldn't it just be creating a synthetic future (long call and short put) in such an amount that your delta is 5 (or whatever it is that you desire)?

Let's first set the inflation issue aside: if that worries you as a foreign buyer, then just buy TIPS since it accrues at headline CPI (not core CPI). Now, let's talk about your core argument. While it's not an unreasonable one to make, I disagree: In the case of the US, China as well as all...

I don't know the UK rates market very well, but I know the US rates market extremely well. It takes more than 1billion in order flow at clip to move the 2y market. So it seems to be what a hedge fund does with $230mm is rather marginal in terms of importance.

GS finally putting on a 10s30s flattener no doubt. They had a steepener on for a very long time.

I have no idea how this relates to anything you've said above or I've said above. But then again, you are the man with the deductive capability. And... maybe I am at wilmott and nuclearphyance too :) Enjoy your movie.

So Merton's a bad trader. Being a bad trader isn't quite the same as being a rogue trader like you called him, no? Or do they not teach that distinction at liverpool? Boy the job market must be horrible - a smart fella like you don't get a callback meanwhile merton used to be able to raise...

(not that I disagree with you) They didn't do any trading. They didn't run LTCM. LTCM didn't lose its shirt on delta-hedging options. They did good ol' pair trades and long/short fixed income trades in stupid sizes and then blew up. LTCM management and traders were ex solomon guys who used to...

Because they wrote a paper on pricing options and were window dressing for a bunch of ex solomon traders? yeah - definitely rogue traders who took unauthorized positions.

Fed likes to buy intermediate treasuries... not really a surprise for anyone.

That's a curve whose steepening is paved in blood.... twice; Remember how fast fast$ and desks got stopped out from 101 to 110 and then to 118.... I know real$ got pretty bruised on that trade too - but luckily (depending on how you see it) they don't get stopped out on a whip.

The benchmark has a heavy % of MBS that are pretty negatively convex, which makes the benchmark itself negatively convex. If PIMCO is underweight in mtg and want to be benchmark neutral in terms of convexity, then they have to get it elsewhere.

Holding the CTD going into FOMC.... I almost rather be holding FVZ outright long - nevermind how rich they are; I think the Fed will be happy to let 10s30s stay steep to signal to the markets that inflation expectation has been ignited. At least the CTD won't catch the full fury that the CT30 will.