Search results

Well, yet again, everyone, including myself, has spoken about the deficiencies of arbitrage pricing. It would be lovely indeed to have NNT (or anyone else) actually come up with some sort of a quantifiable and concrete ideas of how you could replace arbitrage-based models with equilibrium ones...

I have always thought ZN = TY. The former is a Reuters RIC, while the latter is a BBG ticker, but they both refer to the same instrument.

This is fine... If IV is in %, your daily breakeven is (IV*S)/sqrt(252). You can also try to incorporate various rolldown effects, but that's for another day. If you then want to scale it to 4 hours, just pro-rata it in the most obvious fashion.

Well, that's what all the banks are doing and making a killing on it, so it's a good idea, if you can get a nice yield pickup on your long-dated assets. There are two questions for me: 1) Whatever you do in options, you won't be able to do it far enough to avoid some duration risk. So, the...

Mr Swan, allow me to express honest and humble admiration. Your previous post was truly excellent. To me it epitomizes the benefits of superior experience and I thank you for sharing it here. It's all, as you say, about avoiding not seeing the forest for the trees.

Forget all this coffee malarkey... If you peeps here have extra cash, lemme know, as I got some sh1t that needs a-repoing. :)

To provide a wee bit of context. This debate between self-consistency and mk-to-mkt is one that I'm actively having with peeps regarding OTC trades in the world of rates,. Thus I was curious how people address these issues in the world of equity options...

I hope someone else responds and offers some insight, whether same or different. Otherwise, this is uncomfortably one-sided... Naveen, let's wait and see if someone else says anything. Then I can tell you what I see.

This brings me to a question... Are peeps here of the opinion that the correct funding rate to be used to price options is the rate at which you're able to lend out your cash balances, to be all consistent-like? If I am revisiting an old and tired debate, pls just ignore...

Hmmm, not sure I see your point about hindsight. It's a difficult idea to argue about, though, so let's leave it... Yes, there were some astute observers that foresaw how the various pieces of the puzzle were going to evolve. However, if you're suggesting that there were people who saw how...

As I keep saying, the money-mkt fund situation is absolutely scary. In terms of how crucial it is for funding the entire financial system coupled with how dysfunctional it actually is. Money-mkt funds are the running the largest aggregate liquidity risk position imaginable. Investors and...

There's most definitely an OTC mkt, but there's also the options on exchange-traded BAX (Bankers Acceptance) futures (traded on the Montreal exchange). Liquidity ain't great, to put it mildly, but I'm sure you should be able to get a price if you ask arnd. For example, there's some open...

You never posted that graph, my friend, in that other place where you asked your question...

Ah, so, clearly, this poll applies only to a specific subset of traders? For example, your logic doesn't make a lot of sense for people who don't trade full-time or, otherwise, manage OPM...

Just out of curiosity, how do you convert answers to your poll questions to conclusions about the "maturity" of people's talent?

+1 I think we might have a winner here :).

ARE YOU INSANE? Not only is this the wrong way, but you're suggesting selling an option for 0.5. I am 100% with atticus here, you're totally bonkers.

Japan's debt to GDP is arnd 200% now, not 170%. They seem to be taking the first step in the right direction by getting rid of LDP.

Well, the premise is that you don't need to look at pricing with cpty failure, because, really, you ahould be able to hedge your net aggregate exposure to a given counterparty through the CDS or bond mkt. Problem is that everyone sort of fell asleep at the wheel and assumed nothing bad can...

I share your puzzlement... As to the gasoline vs oil, you appear to be correct. If you look at crack spreads in the mkt, we were roughly at 2.5 at the end of Aug08, whereas we're at arnd 5.1 now (I'm using the second contract).