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OKI-DOKI, so when you say "the everyday experience of most of us", I am genuinely curious. Tuition fees apart (the official CPI for tuition, school fees and childcare has in fact been running at well above 5% YoY throughout the 1990s and 2000s), have you collected any data on your "everyday"...

The rule is that there are no rules... Everything depends on what's going on in the world of rates. In general, I wouldn't read too much into it.

Definitely seconded

They did diversify, so I wouldn't shed too many tears for them...

The only people who keep these types of amounts in Cypriot banks are associated with the Russian mafia. While my heart bleeds for their losses, I am pretty sure they'll rise from the ashes and make out OK in the end.

It was a horrendous year for pretty much all big CTAs, apart from Winton. BlueTrend, Man AHL, Cantab etc. Was a pretty difficult year for all these guys.

Well, at any given time, skew has a particular shape (let's say it's very steep). If you believe that the shape of the skew that actually gets realized on a large move of the underlying is unlikely to be what the mkt prices, you can do ratio spreads or ladders or some such thing to express this...

Oh, no, not this again... John Williams also says that a hyperinflationary depression and a dollar collapse is right around the corner. In fact, he's been saying this since 2007, if I am not mistaken.

Really? Between 1998 and 2005 money supply in Japan more than doubled (monetary base went from 50trln yen to 113trln yen). Throughout this whole period Japan experienced steadily falling prices. So it's reasonably clear that the increase in fiat money supply doesn't always result in...

If you have a view on the dynamics of the skew. That's the way to use 'em, IMHO.

+1

Yeah, and Britney Spears is an extra-terrestrial alien... You let me know when/if you wanna (re)join the ranks of the mentally competent.

Brilliant, so that means you know how to obtain the atmf strike for any expiry! That's a start. Next thing you need to do is to decide how sophisticated you wanna be about the interpolation of the implied volatility. At any given point in time, you have a full set of implied vols for a...

There are a lot of options markets that are cash-settled. They are perceived by mkt participants as powerful and useful.

Are you familiar with the concept of "cash-and-carry arbitrage"? If not google or just look, for instance, here: http://kiddynamitesworld.com/so-you-want-to-understand-sp-futures-basis-trades-aka-index-arb/ The idea is that you can determine the fair price of the index at any point in the...

Wait a sec, are you giving me the whole Obama "you didn't build it" line here?

OKI, fine... As a starting point, you need to answer my first question. Do you know how to compute the correct atmf for NKY, given the dividend yield etc? This is the basic building block that you will need if you want to achieve any sort of accuracy.

Right, pls take my word for it that I am not testing your knowledge and I am not being condescending. Like I have said many times here and elsewhere, I argue with people, because most of the time, even when I disagree, I end up learning something. I am asking questions because I want to...

There's no need to insult me, first and foremost. I don't remember when I ever treated you disrespectfully. Secondly, can you explain to me exactly how deflation is bad and inflation is good for the banks? Thirdly, your logic doesn't make a lot of sense. We've made it all the way here in...

This is an interpolation exercise... First things first, do you know how to get the atmf strikes for the different expiry dates? Secondly, how precise do you wanna be?