Search results

http://www.elitetrader.com/vb/showthread.php?s=&threadid=172442 http://www.elitetrader.com/vb/showthread.php?s=&threadid=172517

I remember reading this: http://ftalphaville.ft.com/blog/2009/02/25/52879/a-self-propelled-pyramid/ Might these movements be USO roll related again?

If your employer is regulated by the FSA and you'll be performing a controlled function, you will need to be registered with the FSA. However, ever since MiFID superseded, you actually won't need to pass any FSA examinations. This is what I know, but you'd best check with some sort of a...

I should mention that there's an important caveat that I really should have remembered. Historically, the IR vol mkt has been used to rates significantly above 0, where normal really works a lot better than lognormal. However, Japan has always been a very interesting exception that now...

OT, now you be talking loco... If I were to guess, you got the two terms out of Burghardt's Eurodollar book. Point is that there's actually three types of vol people in the world of rates talk about: lognormal, normalized, aka bpvol (lognormal * forward), and normal. Now normalized vol is...

What is this? Doth my eyes deceive me? This was my idea!!! :)

Yes...

Well, theoretically, the schedules are set independently by the Fed for the OMOs and by the US Treasury for the auctions. Which is why it's so convoluted. The Fed outright purchases are conducted through reverse auctions, where primary dealers can submit offers, on their own as well their...

Hmmmm, I seem to have been shouldered aside in this mkt by experts... At any rate, I was just about to mention bid/offer (argument didn't take it into account originally), but nitro is willing to do it at mid. Now just have to figure out how to do it...

I think they're defined the same way. However, nobody really cares about Eurex Euribor and there's virtually no liquidity in it (e.g. open interest on Eurex Sep9 Euribor contract is <20k; OI on LIFFE Sep9 Euribor is >600k). It was just a misguided attempt by Eurex to try to take business...

Cool, sounds good... I would assume you prefer stocks or indices as underlying? If so, tell me what underlying you like (I am not an equities person) and we can proceed.

No, sorry, I wasn't sufficiently clear about the EONIA contracts. They just DON'T trade, period. There's no arbing, no bots, no nuthin'. Open interest on these contracts at the moment is 0. There's a settlement px every day, but that's about it. [B] It shouldn't be directly relevant...

These are OH SO WRONG on so many levels! It boggles my mind that that there are people here that need to be convinced that put-call parity actually works, skew or no skew. So I propose this. jwcapital and nitro, what say you that we put some money on the table? Let's do some trades, you...

The OP's question has NOTHING to do with skew, as it's a question about option pricing in a B-S world, where vol is constant, by construction. It has everything to do with the cost of carry.

I actually don't know... I honestly did try to look at the texts OT's quoting on Amazon ('cause I just don't seem to have EVERY single option textbook at my fingertips, as OT does), but I ran out of free views :). I tried Cohen's book in particular to answer the question you're asking, but...

It just illustrates something that should really be obvious to us. Namely, that in politics, as well as in journalism, loud sizzle sells a lot better than steak. We've seen it time and time again (my recent favorite is still the $23.7trn TARP figure). Shouldn't come as a surprise, really, as...

A parting shot, I see :)... I can read properly, amico. It's just that it's my view that we have established, once and for all, the answer to your original put-call parity question. The answer will not change, no matter how many quotes from pundits/textbooks you post. Specifically, in...

Just out of curiosity... Why would you think you can make money trading the news, unless you have a way to forecast the mkt-moving events better than the mkt as a whole? Or maybe I misunderstand and you intend to trade right AFTER the announcement to follow momentum or smth?

'Cause in the world of interest rates, things are normal, rather than lognormal. Nobody cares about the percentage move in rates. Instead people care about the absolute number of basis points, which is why, in the world of rates, it's all about bp vol, aka normal vol, and not about...

The EONIA futures (one-month and three-month versions exist) would be the equivalent of the FedFunds contract in the US, if they actually traded. Problem is that they were introduced only very recently and there's been very little take-up from the mkt participants. Therefore, if you want to...