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Im by no means well versed in any of these tools, so please correct me if I am way off track here, but from my limited knowledge VAR would be greater as volatility increases. But what about if you were running a strategy that took advantage of volatility spikes where most of your activity...

This might be old news to some, but what the hell is going on with this country?? http://www.youtube.com/watch?v=PXlxBeAvsB8&eurl=http%3A%2F%2Fwww.stockbox.tv%2Ffederal-reserve-inspector-general-is-clueless%2F&feature=player_embedded

Im starting some research into risk management tools and was wondering if there was any alternative/complimentary tools to VAR as a portfolio risk management tool.

I cant believe this hasnt been moved to Chit chat, or better yet, just deleted.

is there any specific reason one would trade them over the regular monthlies?

I did a quick check on them and the info I got says they are designed for hedging needs of institutions. Are they viable as active trading instruments or strictly for the big boys hedging?

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you forgot a choice. daipers!!!!!

ok, but surely you would need some kind of screen for at least getting a list of possible candidates, right?

Thanks Xflat. So comparing current 'volatility skews' (as Ive reffered to them) with average skews would be a better indicator then?

WEll I guess thats logical. I know that RE vertical skews Positive skew refers to getting higher IV as you move away from ATM , just wanted to make sure I had horizontal skew the right way round.

I came across a few different sources and they all pretty much suggested a similar range of +6% to -2% skew for selecting potential calendar spread candidates. Im just trying to figure out which side a positve skew woud be.....

yeah, I understand that, but when front month IV is above back month IV, is that positive or negative skew? Thanks

so when you are looking at the yield curve 'On the Run' is being used to calculate the curve, not 'CTD'?

Ive been looking into calendar options and found a few articles that talk about looking at skewness. The concensus seems to be between a +5/6% and a -2% skew. A pretty basic question but which way does the positive skew refer to? the front month 6% above the later month?

sorry, on the run and the brackets, being the cheapest to deliver?

I have a question in regards to the comments about using seperate data for developing and testing. How do you choose what data to use for which stage? I mean if you use a period that is strong bullish then test it on a period that is bearish your results should probably be terrible. But does...

ah, ok. As they reffered to the treasuries right? Thanks for that.

Just read the following quote on Bloomberg RE the yield curve. The U.S. Treasury yield curve has widened to 2.22 percentage points from 1.25 percentage points in December. It averaged less than zero in 2006 as traders correctly anticipated that the economy would enter a recession, causing...

No, no way!!! up up up it goes. I thought youd be all in there by now bondtrad3r