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....while i eat a big piece of humble pie (not that tasty)...cbot indeed.... i stand down.....

....my post was to respond to the question of the previous post...." Does it [FF futures contract] give any indication about interest rates? i was just asserting YES - that the essence of the contract was to give an indication of the average fed effective rate for the stated month.... if you...

....sorry to be pedantic but the fed funds futures contract by definition gives a future expectation of the daily weighted average Fed Funds effective rate for a given month.... so, yes, it gives a very strong indication of the market's opinion of interest rates in the future....

by this logic it follows that if you practice the piano enough you can be as talented at mozart, etc.... steve46 - arrogance and ignorance are two of the most nauseating human qualities - congrats on your double score!

just like most trading strategies which are labled with the same misused term, yc "arbitrage" is just taking a bet on what the shape of the term structure of interest rates is going to do. by term structure i simply mean the differential between the rates of any set of maturities the bond/swap...

i tend to agree with the strategy you suggest but this kind of trade doesn't make for restfull sleep... also you may be right in the end but as you chase your negative gamma up and down while rates trade in a 25 bps range i suspect that benjamin graham's wise words will become relevant "the...

that's a difficult question when it comes to swaps and other off-balance sheet instruments because the precise amount of capital being used is unclear. moreover in most firms capital usage is monitored in a more macro way - say all of fixed income trading. also, firms net all their futures...

with some exceptions, most dealing rooms at banks and ibanks are the same, only with more people.... it's really disapoointing to see how rundown and dirty a trading floor of a very rich bank can be.... i don't know if any of you worked at Deutsche when they were in midtown but it was atrocious

also, to address DONTS' point i understand the analogy (like the billionare japanese man who could just keep doulbling down on the rouletter wheel and put the casinboouy of biz), but i don't think that it is applicable. As i said earlier, all traders, both prop and market makers, have very...

i'm not aware of the 20mm dollar woman, but i do know that fixed income prop traders who work for banks and i banks generally get 10% to 14% for superstars with amazing track records this can go higher, but most are in that range. payouts for hedge fund traders can also be much higher

i suspect that most prop traders are "successfull" because the nature of their compensation structure is so skewed in their favor, and the banks which sponsor this are shockingly foolish... think about it - a prop trader bets with the bank's money, but his downside is no bonus whereas his upside...

you're welcome - if you are interested in more details of the LTCM blowup there is a wonderful book called "When Genius Failed".... i think the author's last name is Lowenstein.... it is a fantastic read....

ok i think this discussion is getting a bit muddled with respect to the profitability of prop traders and market making desks... there is a very distinct difference between their contributions and risk parameters. prop traders are allocated a very specific amount of capital with which to wager...

well what you assert is easier said than done.... first of all having massive flow information loses its value quickly when you by definition have to warehouse the other side.... in order to know about the volume of flows you definitionally have to take it down, so you may know very well WHY the...

well its a very good question, and the margins of profit are shriking exponentiallyu for the very reason you state. however you have to remember that this market making biz goes on at large money center banks which service the same clients in investment banking, loans, etc. In many cases the...

i worked in this industry for 12 years.... they are not all ivy league or intellectual ivory-tower type, but the business is phenomenally complex very few people in the world have the disposition or the acumen to thrive in it

yes - i believe the prop group did quite well - i was talking about the otc market making desk, which is an entirely separate biz... the prop group's core strategy - holding mortage-backed securities in inventory while opportunistically trading in and out f their short vol and negative convexity...

yeah the otc interest rate options group got chopped to bits last year by the rel val hedge funds... -200mm is about the right figure, but when you consider what the desk should have MADE with its huge franchise (i would guess the options book has a 150mm-200mm budget) they were actually down...