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Anything is possible, including a version of English language where "not plausible"("not independent") = "not independent"... Just indulge me, pls, my friend. What exactly is your point? Without reference to any previous posts, yours or mine, what are you saying? Specifically, in the world...

Arbitrage-pricing models to determine fair value exist and are used for all instruments (e.g. for bonds it could be various spread models). In that sense, options, IMHO, are not very different from any other financial instrument. Moreover, I think people do realize that no model is capable of...

Euro/Kiwi and Sterling/Kiwi are hardly exotic. For some properly juicy stuff, look at PLN, MXN, ZAR and TRY.

Perfect, SABR is, in fact, almost universally the mkt convention... However, I am now at a loss as to how to interpret your commentary. Help me, pls, asiaprop. Here's what I said: Here's what you said: How am I to understand your commentary? You seem to contradict yourself... At any...

How many threads have we had on this? And how many times does it bear pointing out that the humongous numbers people keep throwing around are notionals and, as such, meaningless?

The process of transitioning the clearing of OTC derivatives to CCPs (Central Clearing Counterparty) has already started. ICE is currently the leader in CDS clearing: http://www.bloomberg.com/apps/news?pid=20601109&sid=a_XaG9y5cvPA&refer=news For interest rates OTC trades LCH has done such...

I do not see any comments of yours that even remotely address what I have said. As to your other comment, I am rather sorry for the rates desk that employed you (if indeed they did). Would you mind telling me what sort of models were used by your exotic rates desk to price trades? What...

I am imprecise precisely because it's not salient to the point I am trying to make. My point about bid/offer is simple. Whatever edge you think you have is eroded by the bid/offer you have to pay. As a result, given the same expected return, the higher your transaction costs, the smaller...

I think in terms of real activity it's probably between 8AM and 3PM (maybe 4PM) New York time, but I would hesitate to put an exact number on it. As I said liquidity is there all the time, but maybe the best opening hours are when the NY Fed dealing desk is open. [B] I would classify it as...

There have been studies done. There's a very well-known one in the world of interest rate derivatives that shows that the vol mkt systematically overprices option by failing to consider mean reversion. Indirectly, a whole bunch of behavioral finance (most notably, Kahneman and Tversky's...

Disagree... Pure vol was the topic, but you said that 'pure' has to be the only way to trade vol. That is not true. Vol can be an aspect of a directional trade, which is also, to me, a way to trade vol. Moreover, pure vol exposure is difficult to achieve for cases where there's no access...

1. It might have something to do with cash. Or it might not. It might have something to do with the swap mkt (i.e. someone trading futures swapspreads). Or it might be someone hedging their mtge with outright futures. Or it could be delta-hedging of options which has nothing to do with the...

Disagree... I periodically put on trades that allow me to express a directional view through options. I daresay it's not because I don't understand or want to be overleveraged, but rather because I can kill two birds with one stone. Moreover, it has nothing to do with autocorrelation of...

If you want to use futures, be aware that you will also have to roll your position quarterly, however much this costs you (will depend on the specific arrangements). Otherwise, I agree with sjfan (except you seem to have only one tranche that's linked to PRIME).

No, of course there's more depth. It's the FX mkt, after all.

I can only speak about how this works for bond/STIR futures. A mkt-maker will do the conversion or trade the deep ITM option for you for a very small bid-ask, as it's no real risk for them and that's their job description. Funnily enough, it's not economical for them to actually publish...

IV is just one thing and one thing only. It's an input into your rich/cheap model, whether it exists explicitly or just in your head. How this model of yours works, whether it's based on historical vol or something else, is another matter entirely.

This, in my view, is not such much about the value of USD per se, but rather more about the flight-to-risk. On the very same morning, there was a headline that the EM equity mkts have returned to pre-Leh levels.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=170218

As I mentioned in another thread here, I perceive the fall in the total amount of commercial paper outstanding as a positive development. There have been shifts on both the supply and demand sides of the CP mkt, which, in my view, should be overall healthy for the system as a whole.