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Am I allowed to say something here? Or should I remain quiet?

Yeah, so they just don't want you to have any positions after on or after first notice day. For March contracts that's Tuesday the 28th of Feb, but they make sure their deadline is a day before that, i.e. Monday. Why they can't let you enjoy your futures for the weekend is beyond me, but maybe...

In 2008 the futures basis went weird, which is probably what you're referring to. However, it's worth noting that, when these things happen, futures outperform cash bonds massively. The reason for this is that futures are off balance sheet instruments, which makes them significantly more...

Sure, but at least in the US and Germany you have 30y bond futures. Their sensitivity to short rates isn't going to be that much greater than that of the ultralongs.

The answer has to come from IB... I don't know their reasoning, but it could be that they don't want any positions in the futures after the first notice date. That's a little paranoid, but not too unusual for a broker.

Right, so if your hypothetical investor is targeting a particular duration, are they hedging a specific liability? If so, is a century bond really what they need? It's one thing that a pension fund, which either has an expectation of future inflows or is desperately underhedged, needs this...

I am not aware of anything like that in France. The UK DMO redeemed the last "war loan" perps a couple of years back. There was talk of them issuing new ones, but it never went very far. It's a tough question. On the one hand, we've had a few century bonds that went like hot cakes (e.g...

This is confusing. Suppose an investor wants to have 20% of their portfolio, or X dollars, invested in bonds. They would need to buy X dollars worth of bonds, regardless of maturity. They can't buy "a little bit of huge duration bonds to free up cash", since they need to spend a fixed...

There are two elements here... Firstly, a longer-dated bond is mechanically going to have less sensitivity to various short-term phenomena, such as central bank actions, spot inflation fixings, money mkt rate fluctuations, etc. Obviously, since all these things can go in any direction, this...

In these things, it's never clear what comes first: supply or demand. The reason the UK, and to a lesser extent some Eurozone sovereigns, have been able to issue such debt is that they have a captive audience, which are forced buyers. It remains to be seen how much appetite such investors...

If I am allowed comment... It all depends on the price.

If you want to do a simple approximation, calculate the price of the underlying at which the option will be valued at $0.50, assuming all else being equal. Once you have that, calculate the probability of the underlying reaching that price. All these things are likely to produce somewhat...

One person's "exotic" is another person's "vanilla"... As also mentioned by the previous poster, liquidity and/or volatility are the reasons people stay away from these.

There's a syndicated new 10y benchmark issue in Aussie (closing today), so this may have smth to do with it. Also a long-dated linker syndication coming up...

Credit ratings are the least useful input for the sort of trading the OP is doing. Furthermore, Italy's current sovereign rating is Baa2/BBB-/BBB+ (Moody's/S&P/Fitch). That's not junk.

In general, the question of how to assign your own probabilities to different outcomes is a difficult one. If this is your process, you need to come up with a way to do it without relying on mkt pricing. Alternatively, you can also go about it the other way round. Start with the mkt's...

The risk-neutral implied probability provided by your broker is rather useless... You will have to figure out how to assign the probabilities yourself. As to the the "win" and "loss", you can assume that the "average win" for selling a spread will be the premium you get to keep. The "average...

So you're short Schatz asset swap AND long 10y Italy vs Germany? It might get interesting if things don't go according to plan... I agree that IK is too cheap, but I wouldn't wanna be short Schatz, especially given the negative carry. At any rate, this is an interesting exercise. I wish you...

Well, sure, but, again, look at the payoff diagram... What happens to the delta of the position as you go through the strike you're short?

Good stuff... Is the Schatz/Euribor spread a hedge for the RX-IK trade?