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Yes... Take the price of the futures, multiply by the conversion factor and use this price to obtain the fwd yield of the current CTD.

It's a Swiss Franc future. Why would you say that it tracks the Euro future? The two reflect different ccies and you should be aware of this basic fact.

Sorry for a very late response, but I did promise... In modern economies, money is not necessarily govt debt. The Central Bank is an exchange, through which paper and electronic money clears. The amount of that money is not directly related to govt spending or borrowing. It's a function of...

Omigod, this thread must be deleted immediately and all the participants made to mysteriously disappear. Otherwise, what's next? The ultimate secrets of regression and basic statistics might just be revealed and where will we all be then.

Strong opinion is my greatest advantage...

xflat is right (as usual), imho... I look at my delta and my strike risk. I don't care if I own puts or calls; all I care about is how many contracts I am long or short for every strike. Caveat: this isn't in the world of equities, but I don't think that should matter.

Roll, Geske and Whaley is one of the earliest models. Since then, there have been many others, including the more esoteric ones, such as Sullivan, as well as Gaporale & Cerrato.

I'd argue that if you feel a strong need to hedge your short straddle positions, you shouldn't be short straddles.

With all due respect, Ed, this is incorrect in a variety of ways... I'd be happy to respond to you, Misthos et al later today, as I'm a bit snowed at the mom.

This argument never made any sense to me... So what if it says 'Note' on it? A quarter doesn't say 'Note' on it. Does that imply that that the debt-like qualities of a quarter are different to those of a dollar bill? Currency is a medium of exchange. What makes a dollar bill so different...

In my view, it's not about the Fed, ultimately... As I have said before, IMO all we're doing is pushing leverage arnd the system, trying to decide who takes the utlimate haircut. In the end, the only way out of the mess is geopolitical and has to do with the the correction of global...

A: TIC-reported Chinese holdings of USTs dropped due to maturation of a large amount of bills (but cash is still on deposit, so it's actually not about China being a seller of USTs) B: Better said here: http://econompicdata.blogspot.com/2010/02/china-sells-treasuries-or-did-they.html

http://www.mathworks.co.uk/products/datafeed/

Just one question then, ralph... How do you reconcile your conclusions with the Japanese experience?

Yep, as long as they drain cash from the system, it's all the same in the end... However, there all sorts of questions about the side effects.

blackdiamond, I think your point may be valid and it's sort of what I was saying in my previous post regarding the trade size issue. The only thing I'd say is that it would make the strategy inherently not scalable, since, as your size grows, you migrate into the cohort of people for whom being...

I don't think it's the question of the tightening impact, to be honest. It's just a matter of which is the lesser evil and what is likely to work. They definitely would want to avoid asset sales, if at all possible, for fear of killing the housing mkt. For repos, it's a matter of making sure...

The dumping of agency paper makes a lot of sense, if you look at the amazing tightening of mtge spreads (obviously, that in itself is a result of Fed's activities). Here's what happened and I don't blame the holders of agency MBS for wanting to take profit: (this is a plot of Fannie 5s LIBOR...

I don't understand... Are you suggesting that the absolute level of rates in the economy doesn't matter, daal? Specifically, suppose FF effective is still 10-15bps below the IOR rate, when the latter is hiked to 1%. Would tightening not occur as a result of FF effective going to 90bps? Or...

I have read both the ZH and the Chris Martenson article, achilles. There's too many factual inaccuracies in both and much of the logic doesn't make sense, but I am really tired of incessantly arguing with crackpot conspiracy theories. As I mentioned in another thread, before discussing the...