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The theoretical price to earn a zero return is 130 (the duration is not infinite, it is bounded at 5yr). Perhaps some repo implications if yields approach zero?

Does anyone (mcurto?) have information why there is significant OI in the March 162-210 strike calls? It looks like those prices are corresponding to -5% to -10% interest rates. It does not appear convexity related, perhaps another type of hedge. Not much premium paid, but it looks to be...

Hey mcurto- I saw where swap spreads blew out today across the curve with treasuries actually selling off. Wow! I don't remember a day like this in some time. It is not my area of expertise, but I saw where CPR speeds have plummeted. This would mess up convexity analysis, so I am not sure...

It would appear that Big Ben has totally lost touch with reality: (Reuters) - Federal Reserve Chairman Ben Bernanke told Congress on Wednesday that many homeowners should save more now home prices have halted their rapid rise and have stabilized. Homeowners "will have to save more out of...

Given the amount of leverage that Goldman et al. have on, 100k put position is like plugging Hoover Dam with a piece of cork.:) It could run much quicker than expected.

hey mcurto- After Monday's rather pathetic volume, it does not seem that the spec accounts are very active on the short side (not much covering going on). Any ideas where the next support level lies if 5.25 is broken decisively? With the Asian CBs on the sidelines, market needs shorts to...

The front-end of curve is most vulnerable to short covering. The middle/back-end is tough because with credit spreads this tight, it is difficult to make the case that treasuries are overbought - everything in fixed income is expensive! The selling in bunds to 3yr lows is interesting. Not too...

This item is from today's FT: Market volatility, as measured by Merrill Lynch s MOVE index of 30-day Treasury options, has fallen to a record low, below the unusually depressed levels seen prior to the 1998 emerging markets meltdown....The stagnant trading activity means “you have to...

DALLAS, April 16 (Reuters) - Dallas Federal Reserve Bank President Richard Fisher said on Monday the United States faces grave fiscal challenges and unless these are resolved, it will have implications for Fed policy and the dollar. "Congress holds the power of the purse. But the Fed cannot...

The largest vendor financing scheme in history continues via the U.S. debt market. BEIJING, April 12 (Reuters) - China's foreign exchange reserves breached $1.2 trillion in the first quarter after a record quarterly jump .... The central bank said on Thursday that reserves had swollen by...

It looks like Ben & Co. are telling the market that the Greenspan put has a very high strike price. With inflation at these levels, I did not think that we were even close to going in-the-money. Wow!

It certainly seems that the recent selling in credit markets has really been concentrated in synthetic credit instruments. Are these leveraged traders just switching from one over valued market to another (sub 4.5 bonds)? Real money investors are very underweight cash spread products and have...

Seems like a pretty silly reaction by the bond market. West of the Hudson River, core CPI is well above 2% and economic growth is doing fine. Should Big Ben & Co. cut rates so Wall St. can do more $30 bil. LBOs? If my 7 figure bonus check depended on advisory/bridge financing revenue, I would...

The state of the thread and the state of the markets would seem to be the same. Cheers! http://www.bloomberg.com/apps/news?pid=20601009&sid=axP8wj0pdIPI&refer=bond

I was looking at implied vols in the SPX, QQQQ, and IWM today. It appears that option sellers are moving away from SPX and heavily selling QQQQ and IWM options. Is this something new? Are vols in IWM at historically low levels? Just wondering.

Another reason why this could possibly be a turning point in bonds is the action in the Euro. The last couple of weeks the dollar has moved towards EUR1.285-1.29, but has been met with strong selling that seems to evaporate pretty quickly. It feels like there are huge stops/options down there...

It looks like OI on the Mar 106p did not move very much on a net basis. But I assume that convexity hedging was also active as 4.85 was taken out.

I would think that the large short gamma would be very painful today. Seems difficult to hedge.

I think that going forward the biggest problem for middle to back part of the curve is that over the last few years you have probably lost money in real terms(all numbers are annualized). The CPI over the 3 yr. period is up 3% and Lehman Agg is up 3.5%. Oh yeah, t-bills are up 3% over the...

Maybe someone out there can explain if the SEC review (see link: http://sec.gov/rules/other/2006/34-55011.pdf ) means that the fees for Arca book may NOT go through as they requested in (see link: http://www.sec.gov/rules/sro/nysearca.shtml ) file # 2006-21. Will comments from the public...