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FWIW, in my mkt, apart from a few blatant fat-fingers, operational snafus or newbie mkt-maker errors, I have never seen what, in my view, would constitute a serious systematic mispricing of options arnd expiry. So no "fatted up premiums", no "collapse of IV" and, definitely, no free money...

I have gone through that kind of experience myself, so I do understand... In general, there's such a wide range of outcomes, in terms of how bad things can get, it's very difficult to speculate. Based on my personal experience, property, as well as generic portable physical assets (jewelry...

How is Freddie/Fannie/FHLB debt/MBS more toxic than T-bills, given that the GSEs enjoy an unlimited explicit guarantee from the US Treasury?

mike, listen, first of all, I have nothing whatsoever against you, so pls take my comments in the spirit they are given, i.e. neutral. Firstly, xflat is right. When I say "cheap", I am not referring to the total amount of premium paid or received. Secondly, I can also see why xflat is so...

The only specific number I can think of comes from the Central Limit Theorem. As to the actual problem, as I understand it, there's a variety of ways to circumvent/work around the problem, but no actual solution. Personally, PCA/ICA is something I find useful.

Not directly, but, as discussed elsewhere, anything is eventually possible (not probable) due to the substitution effect.

FWIW, my personal view is that it's not a bubble... Disclaimer: I own some gold. In my view, gold/silver is one of the few portable physical assets that can be used to diversify and hedge some disaster scenarios. So, here's my question, how does one go about determining whether a premium...

How do we define a bubble again?

But then I don't understand what you're trying to do... Correct me if I am wrong here, but you like selling options, because you think the mkt misprices the asset volatility arnd expiry? But, like myself, you also like buying options because the mkt misprices the liquidity component of the...

FWIW, I don't do stocks, but, in my mkt, I am always a buyer of cheap options arnd expiry, never a seller. My view is that while the mkt always prices the volatility of the underlying asset fairly, nobody's figured out a way to properly price liquidity. I would always, for choice, be long a...

How would you define a "bubble"?

Absolutely not! Haven't you heard that, according to the latest, indisputable and authoritative scientific evidence, everything said on the internet is the truth, the whole truth and nothing but the truth?

+1

Sorry to disappoint you, Misthos... I'll try to stay serious from now on :). BTW, you guys might be interested to know that, in general, the mkt has been falling a bit out of love with the whole hyperinflation story. TIPS and inflation swaps can't find a decent bid, all of a sudden. Might...

BTW, I thought you might be interested to know, nitro... filthy's coming out with a new book and it promises to be quite good.

NYCDT, given the trade you posted above, could you satisfy my idle curiosity? What proportion of the risk you're running (referring to the returns/Sharpe you have mentioned) can be classified as short vol and/or short gamma? A rough estimate would be sufficient...

Agree with GoC... Definitely own real assets like arable land, if you have to. Also, as I have mentioned before, with a diversified portfolio of land (preferably with a couple of fallout shelters), guns/ammo and canned food, you can't go wrong. One thing for certain, owning a bunch of...

That's a different issue and I don't disagree... There's all sorts of arguments to be made for why long-dated yields are likely to rise a lot in the future. Whether it happens gradually or through auction failures, I don't know. However, one thing for sure, last week's auction certainly was...

But that's exactly my point regarding this "failed auction"! If you only look at the price action, describing this auction as a "failure" is rather idiotic, IMHO. I would personally describe it as "sloppy", at worst, since, as usual, dealers played all sorts of games. In particular, you...

Hahaha, this cracks me up... A failed auction? 2.5bps tail, but a massive 24% indirects, and the bond started trading through the auction clearing price hours later. Yep, that's a resounding failure, if I've ever seen one. ZH seems to have gotten himself all confused. In the same...