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OddTrader, you're odd! Why, oh why, do you have to keep posting these quotes? Why do you have to bring 'rho' into the discussion? What does rho have to do with anything? Please, I implore you, STOP, for goodness sake!

Wasn't there some positive profit news from Radian? They didn't have to pay out on some of their insurance contracts, 'cause they were deemed invalid. Isn't that what's been pushing all the insurers up and squeezing the shorts?

If I am not mistaken, this is a classic brainteaser question... Is there a cost of carry in this example of yours? EDIT: Double post with wayne.

OT, may I ask what you're trying to achieve by posting all these quotes? Haven't we seen enough on the subject to put this one to bed?

No, nothing wrong, apologies... The only violations of P-C parity I have experienced personally happened with some Eurodollar conversions (a bunch of flat positions, e.g. short call, long put, long contract). Some of the calls got exercised early (some dodgy margin optimization b-s), while I...

I guess I have to post this again: http://www.wilmott.com/messageview.cfm?catid=19&threadid=4301 PLEASE try reading the various proofs offered by Alan, as well as the one that appears in a nice Word document. Pretty PLEASE?

This is wrong on many levels (ref atticus).

This is a complete red herring... What does skew have to do with put-call parity? Put-call parity holds for European options (and American options if they're held to expiry), with some very rare exceptions (some have been alluded to by Alan; some are sometimes evident in exchange closes for...

The author is simply referring to the fact that put-call parity doesn't necessarily hold for American options. That's why he's specifying the "at expiration" constraint (put-call parity holds for American options if they're held to expiry). If you want to read more about the put-call parity...

OKI-DOKI... But then if the Fed is not independent and is simply an instrument of the politicians, why exactly is the beef with the Fed? Why mention the Fed and not say things the way they are? Specifically: The Fascist American political establishment is monetizing debt, while the...

Having read the original Chris Martenson article, I see no compelling arguments to support his conclusions... It is, as I expected, a complete crock of high-grade bullsh1t, but obviously it will be exceedingly popular with the conspiracy theorists out there. Ironically, I don't necessarily...

If you say so... You're entitled to your opinion, however misguided it may appear to me.

Strictly speaking, the Fed is buying the US Treasury's debt, as the Fed doesn't issue its own. So what you're saying is that the Fed is not independent and is bowing to someone's political will?

Current contract CTD changes are VERY rare in EUR and GBP, rare in USD. Some funky micro bond games have to be played for a CTD switch to occur (unless, which also happens rarely, there's lots of optionality in the basket). This year the only on-the-fly CTD change I have seen occurred in the...

This is not exactly the liveliest conversation, Neveen, as it seems I'm the only one willing to offer an opinion. Do you want me to respond to this again or have you heard enough out of me?

If you read what they're doing, you should be able to arrive at the same conclusions. For A, they're taking into account the initial portfolio value and the mean return, which is why they get their number. For B, it's actually lognormal var they're calculating, which might be why they get...

This is probably the most exhaustive reference you will find, but it's sorta expensive, I guess, for a book: http://www.amazon.co.uk/European-Fixed-Income-Markets-Derivatives/dp/0470850531/ref=sr_1_1?ie=UTF8&s=books&qid=1249638282&sr=8-1 You might also like this paper from the ECB...

It's proprietary...

This is some funny sh1t...

Moreover, I just realized smth... Why are we comparing futures with current on-the-runs? The OTR bond might not even be in the basket, so it's completely apples and oranges.