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I found this last passage from Vladimir The Great most moving: "And I would rather disagree with a case [Obama] made on American exceptionalism, stating that the United States’ policy is “what makes America different. It’s what makes us exceptional.” It is extremely dangerous to...

Typo in my previous post... Dec13, not Dec14 is the current front contract.

1. As sle mentioned, you should not be looking at the Mar14 contracts at this point. During the life of the quarterly trsy futures contract, liquidity normally exists only in the "front" contract. Currently, this is the Dec14 futures. When the "front" contract gets close to last trading day...

There are no hard and fast rule with these things, esp w/trsy futures. For instance, the open interest is already greater on the Dec 10yr note futures, even though we're pretty far from 19th of Sep. So I'd say that Dec13 is already the front contract in the mkt, rather than Sep13.

First of all, you should read some basic books about bonds. As to your questions: 1) Sort of, bond prices go down when rates go up, because you have to discount the future coupons that you're going to receive at a higher rate. It's about the higher opportunity cost of money. 2) I am...

JPMorgan and BofA were never really involved in the LIBOR stories that much, so this sounds like bullsh1t.

Damn, indeed...

There is no free lunch... There is a multitude of reasons and issues, which imply that you won't likely be able to do what you're trying to do efficiently.

1. Erm, "high" is probably a little too judgmental. Bid/ask is what it is. It gets wider with maturity because a) liquidity, arguably, gets worse; and b) duration of the contract gets bigger, which means you need to buy/sell fewer of them. 2. Majority of treasury futures are physically...

I have some sympathy with your logic. However, I do believe that we need to see quite a bit more pain in the mkt before it becomes safe to go in the water, Fed or no Fed. There's a lot of trapped longs out there, IMHO. Still, like I said, I can't fault the premise.

Ye, "wow" was what I've been saying all this time while INR has been taking me for a jolly ride...

Best of luck with this trade, Daal... All I'd say is that in 2010 the red FedFunds contracts were trading arnd 120bps lower than today; in 2011 arnd 75bps lower. I find it really hard to find reasons why this can't happen again.

I got involved in Rupee through various put spreads. My fav was AUDINR, which was priced pretty cheaply. Sadly, I got f*cked and am not sure what to say about it now. I like Raghu Rajan, though, and am cautiously optimistic.

I do all sorts, but yes, mostly OTC.

Aye

For DV01 weights: 100 TY (ZN) = 153 FV (ZF) = 55 US (ZB) = 36 WN (UB) Approx, all based on Dec contracts at current.

There are no counterparty-imposed limitations on how long you can hold anything. Bid/offer is your only constraint.

It's not a common institutional product anyways, AFAIK, so I don't think a super tight spread is to be expected.

For US & UK, check out this here website: http://www.yieldcurve.com/marketyieldcurve.asp For the ECB AAA curve, you can look here: http://www.ecb.europa.eu/stats/money/yc/html/index.en.html The Fed also publishes the H.15 table, with a pretty long history...

Surely you mean 2.10, not 3.10? EDIT: I see that he has actually flipped and is looking for 3.10% by the end of the year. I don't get how that's consistent with an expectation of EM blowup, but whatevers...