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No idea... Base effects represent arithmetic reality, so I don't spend a lot of time thinking about life without them.

Doesn't "shallow" skew argue against doing the trade in put spread format? And selling strangles?

How can this possibly be a surprise to anyone, given it's mostly a result of energy base effects?

Ha, mate, if I had a crystal ball, I'd be on a beach in Ibiza or some such... I have no idea, actually.

This is confusing...

I think it might be wise to look at the period before 2009 when exploring this...

Well, as I have been arguing for a long time now, if you have better ideas for how to calculate all these things, pls don't hesitate. Like I keep saying, I don't see anything to suggest any grand conspiracies.

Well, all I can say is that the mkt doesn't seem to think Fed's QE was monetization. It thought that maybe for a millisecond in 2011, but we've moved on since then. As to how trustworthy this data is, my attitude to this is one of pragmatic cynicism. I generally believe that grand government...

Indeed, you're correct... I must be getting senile.

I see... You're planning to compute it from the the ATM fwd.

It's all in the tables... Compare here and here and you shall see that the US Treasury borrowed arnd $800bn in the mkt. The additional $600bn came from increases in the Government Account Series (GAS) holdings (for the US, probably the Medicare Trust Fund and the Social Security Trust Fund).

You're not reading between the lines correctly. Just trust me on this, interpolation is the right thing to do.

How do you plan to do that? Isn't this, basically, going to involve solving an equation with two unknowns?

At the very least, don't look at the "Last Price" column. Instead, always look at current mid, i.e. the average of "Bid" and "Ask".

I wouldn't disagree with you... I just think you need to consider carefully what happens under a Japan scenario. See what happened to such a "portfolio" through the last 20 - 30 years of the Japanese experience. If you're happy with this as a "tail"(ish) risk, then you got yourself a trade.

Of course, just recompute the value of the option w/ the underlying at a different level, but using the vol computed from the EOD prices.

It depends... You can always spend a little money to buy some optically cheap options. However, the old dictum of "you pay peanuts, you get monkeys" would definitely apply.

Well, I am not sure you're gonna get paid Euribor... Even if you were, recall that it's negative, so you're likely to be paying. If you're short the German futures, you're (kinda) borrowing the bond in the repo mkt at (maybe) GC. That's the "funding" leg of the trade. Carry and rolldown for...

These issues are quite tricky and not straightforward.

I am very very confused now...