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Opened at 22 today, but is likely to hang arnd the 18 level for a while now.

Erm, have you seen the open interest on that T-bill future? It might as well not be there. If you don't like the basis aspect of it, the alternative is the FedFund future.

Someone doing some big flattening-like trades today... Outright 2yr, as well as 10yr vs ultra-bond in proper chunky size.

Try FedFunds (CBOT) or, failing that Eurodollar (CME), futures. Should do the trick for you.

Bid/offer

I have not forgotten. Those were dark times for me, as I was really hoping Russia would make it all the way to the final. Somehow, I just remember the 2008 Spanish team playing much nicer football than this one. I know it's mostly the same team and the same players, so must be just a...

The equation is simply the yield of the CTD, using the delivery px implied by the current futures px (delivery px = futures px * conversion factor). I don't know a place that shows you the UST fwd curve (consturcting a bond fwd curve is not a trivial exercise). However, you can see the daily...

I am not too active in USTs at the mom. On balance, I would expect the curve to flatten, given my view of the US economy.

As far as I know, it's 7:20 AM - 2PM Chicago, or 1:20PM - 8PM GMT, for the pit. Electronic is, basically, 24hrs (5:30PM - 4PM Chicago).

I really hope not... This Spanish team plays ugly footbal, IMHO. The Dutch are OK, but I don't think either of the two are a match for the mighty German machine.

As atticus mentioned, I don't think either of the two will give you perfect replication, but, you're absolutely right, these methods can be and are used in practice. In the world of rates, various CMS exotics, digital and otherwise, are normally handled by replication with a portfolio of...

What a team! I confess I was not a fan and I was really backing Argentina (after Ghana's tragic exit, of course). However, the Germans do play beautiful football. Like clockwork, in the best possible sense. I didn't think they could crush Argentina as easily as they dispatched the sh1tty...

It looked correct, at first glance, although I confess to not really spending too much time on it. [B] I don't quite understand what particular insight you might be referring to here. From what I could tell, Ran.Cap's point was simply an illustration of a well-known and well-understood fact...

A large client buy order is likely to move the mkt. If, knowing this, the prop desk executes a large buy order of its own in front of the client, the mkt will move, thereby forcing the broker to buy at a higher price on behalf of the client. Once the execution of the client order has pushed...

This is most marvellous, indeed... If you claim that you have replicated the payoff of a 55% delta vanilla call, congratulations, you just answered your own original question (below). Otherwise, I really don't understand what it is that you're asking/arguing/disputing. I think it would...

It's silly and confused, regardless of whether it's done on purpose. [B] I don't know and, frankly, I don't really see the point. What sort of insight do you intend to glean from this? [B] Hedge what? I have absolutely no idea what you're talking about. [B] Why look at this? What...

Methinks you're confusing a digital asset-or-nothing option with a vanilla one...

Good luck with this... Personally, don't think it's something I'd wanna do right about now.

Very nice... Not sure we're done flattening, to be honest, but it might be worthwhile to take some money off the table.

No, it ain't...