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Firstly, everything is an opinion, my friend. That's the nature of an argument. Secondly, I would ask you again to stop making tangential points. I know all about "durable", "divisible", etc (you forgot "fungible"). When did I ever refute this that you keep saying it? [B] Precisely, but...

Pls calm down and stop making straw man arguments... When did I ever mention anything about confiscation, totalitarianism, the current stimulus or deflation? The major problem with any regime based on the gold standard is its rigidity, which has, arguably, been demonstrated to be a big problem.

Hmmmm, I am with Ivan on this (even though I am long physical gold myself)... Maybe, in the spirit of 'healer, heal thyself', you should educate yourself about the Great Depression, Anaconda?

Arguably, this can said of any fixed income product...

The only other way to look at this is to compare the the two asset swap levels, which, simplistically, looks at the bonds/futures against a single common denominator, specifically, the LIBOR curve. In this case, the answer is probably simpler, though... It's probably just a function of the...

Well, I assume TA most likely implies very short holding periods, which, to me, effectively implies constant position duration for the lifetime of the trade. Secondly, the trade would never be held over large moves, which implies negligible effects of convexity on price. Finally, who knows...

I am sorry, but I do have to tell you that you're barking up the wrong tree here, sjf... Yes, all these things you mention are true and should be understood. However, you do realize you're talking about convexity in a retail context? Have you considered what sort of a pnl impact from...

I always recommend three: 1. 'Fixed Income Securities' by Tuckman 2. 'Eurodollar Handbook' and 'Treasury Bond Basis', the two seminal texts by Burghardt 3. 'Understanding the Yield Curve' series of papers by Antti Ilmanen (old Solly papers) They're all fundamental texts, but may be 'too...

Why not?

There's actually all sorts of reasons for this, but they all sorta come down to many supply/demand considerations, such as issuance patters, structured notes (PRDC) overhang, pension fund/foreign CB demand etc etc. There's just too many factors to mention.

BBG actually does it wrong. They take the spot DV01 of the CTD using the price implied by the price of the future and the conv factor. What you really should be doing is calculating the fwd DV01, but it's, in most cases, close enough. [B] This, basically, implies that you have no way to...

This makes sense, as this simply gives you a DV01-weighted fly. Then you probably do the same thing with cash bonds to construct a DV01-weighted cash bond fly. However, my question is about how you're planning to compare the levels of the two flies? Are you going to do it in yield terms...

Well, the first question to ask is how do you define the fly level from futures? Specifically, what do you refer to as the 'futures implied yield'? In general, if you just think about what the difference between a future and a cash bond is you will, most likely, answer your own question.

As I have mentioned before, you can infer very little, right off the bat. The main point is that the CTD for the N year future is not necessarily the N year bond. That's even before delving into the various basis discussions.

Isn't this mostly on the back of political news out of Japan (LDP's defeat)? http://news.bbc.co.uk/2/hi/asia-pacific/8146302.stm

I don't understand the point of this rant. Some things it's saying are obvious, while some are rather silly. Overall, doesn't really make a lot of sense.

You mean it looks steep up to two years? Think of where the fed funds rate is now and you will have your explanation of why it's so low at the very front. After that, up to 3 years or so, the mkt is pricing in the need for the Fed to exit the monetary easing very aggressively. As to...

This may be relevant... http://econompicdata.blogspot.com/2009/07/ultimate-armageddon-stock.html

My point is simple. All I am saying is that trying to prohibit fractional lending is like trying to prohibit consumption of alcohol. Both have been tried and both just don't work, in practice. Reason being, simply, that you can't 'fade' human nature.

All UST futures (2y, 3y, 5y, 10y and bond) are sufficiently liquid and tradable for your purposes. As to how you can trade cash bonds as a retail investor, I am not entirely sure. Bund/bobl/schatz also work fine.