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You shouldn't expect same returns. Similar, in some aspects, maybe, but not same.

Bond futures vol is quite tricky, especially in the US. I am not eve sure that BBG does a good job with those. I imagine ETF options might actually be easier, although I am not an expert by any means.

The traditional dynamic is very simple: - Japanese savers (either directly or indirectly, through their pension funds and banks) demand bonds - the BoJ has taken a lot of JGBs out of circulation through QE - furthermore, global QE in other places has also had an effect of reducing the...

Just a flesh wound... I just hope Gary still cares, even after he sold a whole chunk.

As is often the case with HeroZedge articles, it's bullsh1t. Everyone knows full well that correlation doesn't imply causation, and yet the author is, effectively, claiming this. You could argue, broadly, that Japanese demand for global duration is meaningful for yields across the world, but...

You'd have to remind me, Mav, where I suggested that massive inflation is coming to the US... As to credit spreads, obviously, LIBOR/OIS has a credit component, but at the moment basis dominated by other things. If you want downside protection, unfortunately I can't think of anything better...

I don't think that's right. Given that the Trump reflation/aggressive Fed trade is done mostly through downside in various LIBOR products, the mkt is actually quite long LIBOR/OIS spread at the moment (this is also due to large longs in swapspreads). IMHO, LIBOR/OIS isn't going to be a good...

I don't know if it's right to generalise, but I can't imagine anyone cares about price... Everything in terms of risk and PNL is always about yield.

As far as I am aware, TUT is just an 'execution' spread. Once filled, you'll have a position in the appropriate ZT and ZN contracts and you'll have to roll them yourself when the time comes.

You always want to use yields, since prices exhibit some effects which make them difficult to interpret.

Options, assuming you're only ever long them and they're short-dated, are obviously less risky. That said, no reasonable large-scale investor would really care much about the instrument used.

Well, what can I say... You're certainly entitled to your views, however outlandish and bizarre they might be. Just don't expect people to take you seriously.

Well, the correct question is why should you use USD, actually. It's a totally arbitrary choice, regardless of whether it's used for quoting oil prices. I mean what happens when you use USD and it actually depreciates vs the other world currencies, like it did in 2010 (arnd 10% from peak to...

Yeah, this is a tricky and somewhat arbitrary process... In Italy, you really need to throw some issues out completely, but then, at the same time, find a way to deal with the resulting "sparseness" of particular sectors. In Germany, you need to account for some funky effects that used to...

Falling/failed currency? 15% drop in GDP? Peil, man, whatever it is that you're smoking, I really wanna have some of that good sh1t... Actually, I see what you're doing here. You're actually adjusting a given year's nominal GDP level for each of these countries by the USD exchange rate. You...

They lost 15% of their GDP in 2015?

If you so desire, macro_paper, I can get you some daily data going back to 1999 for Italy (and Germany). A couple of dealer systems that I use build curves and allow me to get the data. You have to make sure you know what you want, though...

There will inevitably be all sorts of "model dependencies". It's a tricky business, building bond curves.

You need to build a curve and imply the 10y par yield... Otherwise, you'll be at the mercy of all sorts of funky effects. I am reasonably sure that you can obtain decent historical data for various benchmark yields from ECB (http://sdw.ecb.europa.eu/home.do), BuBa...

What do you mean "Grexit is back"? It never left in the first place...