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Indeed, @dealmaker is one of the good ones... If you want to read the full paper, it's here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2882983

What took me to the other side (which, admittedly, is pretty bad too) is the reaction to gay marriage. It should be a perfectly private affair, who you marry and what you like to do in your spare time. Some people like tiramisu and some like pork rings.

OMMs, obviously, use smart models to calculate their deltas. Anything from local vol to SABR or other form of stochastic vol will include spot/vol correlation.

Let me quote from OP, he was pretty clear I think: That's true for most derivatives and not true for the truly liquid futures. Liquidity begets liquidity, in general, and cash tends to be following the futures most of the time in things like index futures. I.e. tail starts wagging the dog. You...

Dude... what are we, in 3rd grade here? (a) Daal is asking specifically about "UST cash bond market vs UST futures". SIFMA is the most reliable source for this information this information (as opposed to some pretty memes from the internet). It's pretty obvious that in terms of duration...

That, by the way, is not true. The US government has been in default on it's obligations several times. Besides the ancient history (i.e. the War of 1812 and the withdrawal from the gold standard during the Great Depression), the US had a so-called “mini-default” in 1979 and has changed the bond...

What makes you say so? 10y note futures trade about 2-3 million contracts on an average day, which makes 200 to 300 billion (notional is a 100k). Once you add the 2s, 5s, bonds and ultra-bonds, you probably get to the same dollar volumes. Also note that more than 20% of cash bonds traded are...

Here are the statistics for the cash bonds from SIFMA, it's about 500 billion per day: https://www.sifma.org/resources/research/us-treasury-trading-volume/

It's a total aside, but lemme ask you something. Did your views change or did the window shift? I came here just shy of thirty years ago and straight off the boat felt that Republicans are my people. Their approach to life just felt right. Thirty years later my views are more or less the same...

Actually, in the long run it's quantity that matters. For example, the guy working at a local bodega is turning zero capital into $15 every hour. That's infinite return on capital yet I don't see many people envious of him. Dude, I never had a compass. My motto is "if you don't know where...

Their demise is a long story, involving WorldQuant and recent returns. The fund is doomed, however, PMs are headed for the exits from what I hear.

Oh, come on - the top traders are those who are directing 100s of millions or even billions in capital. They don't care about "Trading World Cup". You do know that this is not a sport, right? That's a very very condensed version of the story :)

As I said above, data mining is not bad per se as long as you apply the right corrections for family-wise error. To be fair, these were probably created from unique hypotheses and optimized for specific parameters after. That's not really data mining in the form that requires any forms of...

I might be recalling wrong, but I think crude is lighter (easier to refine) and sweeter (less sulfur).

I am not much of a macro economist, but it's probably some form of the benchmarking play (considering the size). Like they want to have some USD-denominated debt for credit benchmarking

Q.E.D. :D

"Like" :D

Oh, I see. We are discussing the correlation between different stocks in the S&P basket as it's implied by the ratio of implied volatilities. In short, you can take the implied volatility of S&P, divide it by the weighted average implied vol of the component stocks which would give you the...

We are in a violent agreement then :) This said, I have no opinion on the actual software

I am sure it was nothing beyond good Christian upbringing and all the stories are false :P LOL, it was roaring way before he got into the office. Thank the Fed (and global CBs) instead. Regarding the "Snowflake" remark and the associated fragility. It used to be that the Republican party was...