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This is not duration-neutral at all... Duration is not the same as time to maturity/expiry. If you don't price the spread correctly, you're going to end up with all sorts of risks other than the spread that you're trying to trade. Which, in turn, means that whatever moves you're observing...

How to properly structure the schatz/Euribor trade (also, in answer to a question on another thread). This trade is also known, somewhat confusingly, as a EUR TED trade. For every 1000 Dec Schatz contracts bought/sold, you sell/buy 108 lots of each Euribor contract, starting with the fronts...

EURIBOR/Schatz trade is just one special case of a category of relative value trades that involve expressing a view on 'swap spreads', aka 'asset swap', aka just 'spreads'. Generally, in the world of rates, these types of trades involve buying/selling a bond (or repo or derivative, such as a...

Isn't gamma just the second derivative of the option px wrt to the px of the underlying? Long gamma position means second derivative positive, short gamma position means second derivative negative. The geometric interpretation of the sign of the second derivative is convexity.

But isn't this 5y 5y fwd breakevens, whereas the question was about spot 5y?

1) As mentioned already, tightening lending conditions. 2) Continued chronic underemployment 3) Wages and salaries collapse that occurred during the crunch will not be unwound quickly 4) Very steady and even slightly declining inflation expectations (surveys) 5) Decreasing demand for tobacco...

I lean towards mild deflation, aka disinflation, for a whole variety of reasons. Foremost among them is the unprecedented contraction in lending, which I expect to continue for a while yet.

There's a whole variety of ways to approach this. Tuckman suggests a few different methodologies, but it's by far not an exhaustive list. Problem with regression-weighted flies is, as usual, the choice of the sampling period and the stability of your coefficients.

Huh? Weren't the revisions in the latest release actually positive? I see +15k, from -216k to -201k.

I don't have the fixing, obviously... However, I do see that it appears to be trading at arnd 13bps at the moment. As far as I can see, it traded between 8 and 15 bps all day.

Totally agree. 'Bubbles are lovely!' is a line that a UK central banker used once and it's absolutely true. I am not sure I agree with this. The reason to use valuations/prices is simply that they're actual tangible numbers. How do you propose to define and quantify 'crowd behaviour'? Use...

I daresay bills and GC trading negative is a bit more than a "rally in the bill mkt". So I still think it's mostly quarter-end.

I follow these things. You can see the repayment schedule here, among other places (scroll down): http://www.morganstanley.com/views/gef/archive/2009/20090924-Thu.html The maturity would probably settle T+1 , so you should be able to see the impact from the 25th onwards.

As I mentioned before, I don't like mixing hedging with speculation, which is why I have a problem with the things you're suggesting.

As to the various discussions of bubble criteria, I have achieved my purpose. Specifically, I wanted to show just how difficult it is to actually agree on what constitutes a bubble. There's so many different questionable assumptions people make. Even using the chart attached below (time...

I am pretty sure... All sorts of repo (old and double-old 2s, as well as 3s and double-old 3s) was trading very negative yesterday, as well as some short bills. We'll see what happens today. I could be wrong, of course, but I don't think I am. EDIT: Actually, there's one other thing...

I know what he's saying... I'm saying that what he's saying makes no sense and is wrong, IMO.

Surely you'll have to agree that not one of these criteria is objective. I don't even have to address each point specifically, it's so obvious. Well, I fail to see how a rise or fall of a certain magnitude can be objectively used to determine bubbles. Specifically, what would this criterion...

In this particular case, I believe you're wrong and I'm right.

Huh? This makes no sense whatsoever...