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It's postponed till 11:20, not cxled...

+1

Actually, seems like it's worse than I thought. Net supply is actually negative, even excluding the Fed purchases. There's $61bn of redemptions and $23bn coupon payments. Sounds like a long into the issuance week, then...

I don't think I can answer these questions. Not in an ad hoc sorta way. Maybe someone else can... If I were you, I'd try to approach the issue scientifically. Take a specific period's worth of tick data and look at the volatility of the contract within that period. From that you should be...

This is very nice, thx a lot!

Cash bonds/bond futures trade 24hrs and you should never ignore the overnight session, since that's when the Asians/London do their dirty deeds. That said, max liquidity is during the regular US hours, of course.

What on earth makes you think that the banks actually hold on to the exposure to these historically low rates?

'Cause there's like bazillion (arnd $30bn is the estimate I saw) redemptions/coupons coming up... At least that's what I heard.

I think we might have a winner here... Given that your max loss on the PRIME piece doesn't appear life-threatening and transaction costs on whatever hedges you do will bite, sitting on your hands might just be the wisest course here, chromo...

I was referring to retail specifically, of course... The institutional side of the equation is well-known and unloved. And yes, the books are definitely being re-written about the things you can and can't sell to even semi-sophisticated investors. However, I just don't see the regulatory...

Well, I am not sure about a magnum... Those buggers are generally quite elusive these days.

A CTA? I think it's relatively common, but maybe not so much in the US, given the structure of most mortgages? IMHO, it's hard to see how any institution but a bank could offer a mtge service that would satisfy customers' needs.

Well, a former colleague of mine was short 15 bags of the second contract outright a few times. In general, if you have a macro view, why not express it with outright position? Obviously, most people would do it through options for the really large stuff, but I think up to 5 bags works in...

I don't know if this is necessarily true... I do think that there's quite a lot of euribor being traded outright. Granted, a whole bunch goes through vs other products, whatever they might be (options, OTC, bonds, etc)...

0008, PM me if you want to join a chatroom of ours. Most of the people there are locals trading Euribor/short sterling; mostly spreads, flies etc, but there's really all sorts. Seeing as how there's a whole bunch of people there doing the very thing you're asking about, I daresay it's...

Oh, really?

I was referring to a case for a deep ITM call, where cost-of-carry is greater than the risk-free rate. In that case, from what I can tell, this deep ITM call will have a spot delta that's greater than one, simply because of the PV effect. That's the explanation that's always made the most...

How about another, sorta similar, question (same setting)? Delta > 100%, in absolute value. Is that possible? If yes, under which conditions? If not, why?

Pls accept my apologies, morganist, I have misunderstood you...

morganist, I am shocked at your ignorance, you being a macroeconomist and all... The Fed doesn't issue bonds. The US Treasury issues bonds, which the Fed is currently buying as part of its outright treasury purchase program. I might add that this is EXACTLY what's going on in your native...