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HV is not IV. HV is based on past data. IV is what the overall market is pricing now. Like many have said, plug in your numbers into a generic black-scholes pricing model. Adjust your volatility until the prices of your options match similarly to that of other market participants. Then you...

it was a hoot last yr. I'll be on time this time :) -cbk

bonds traded otc.. you won't get out at a 'good price'

U could write your own in Matlab. That's what I did, hooked up to a BBG adapter. -lc

sorry i missed this, been a busy week for me. I'll be back in the CBOT on Monday, perhaps another time. -lc

Don't think it has anything to do with OnTR vs. OffTR tsys anomaly. That has existed for months when banks started bailing out. The trade as you say is correct, but be aware that this spread has caught many of us institutional folks off guard. It's no longer a simple 'mean-reverting' spread...

It's not Citadel.

For particulars on the issue, see attachment. -lc

Sir, I'd normally tend to agree with you, but remember one facet of the market: buyers and sellers converging at an equillibrium price.. Consider the following attachment, it shows the 'Fair Market' yield curve for USD denominated Financial corp issues, from 3MO - 30Y... They probably...

In keeping with the whole theme, take a look at a pool issued in 2004 by Goldman Sachs (GSAA 2004-9). I was paying attention to the M4 tranche, but this is a periodic update report that gets sent out for all tranches for the entire deal every month.

This reminds me at a gathering of traders here in NYC after the workday around this time last summer when Cramer had his meltdown on CNBC about the discount window. Yours truly, after having a few Captains got behind the spirit and stood up in the middle of the crowded bar and started shouting...

*CITIGROUP CFO EXPECTS SUBSTANTIAL ADDITIONAL CDO MARKDOWNS I forgot to look at citibank LOL woops! But it doesn't look so bad, but I guess the incremental delinquencies are adding up. There's a lot to look at though. Many tranches in just this one deal alone (2pgs worth).

This is one of CSFB's ABS tranches that... Heh heh...

That's just one of thousands of pools.. So, you can't read into the two pools I've posted here with too much panic. But, you now see the daunting task that these firms now face when it comes to trying to come up with an accurate price for this stuff. There's thousands of deals out there, and the...

For those who want to read into the data (see my previous post regarding how to interpret this screen) ... Here's the table. Now, isn't this fun?? :D -lc

If you want to watch a unfolding trainwreck..... CSFB - 2005 - CF1 - Whole ARM Collateral Has 9 'classes' 3 of them are paid (including the A1 class, with 113,061 issued at 5.520 cpn and a Maturity of 03/25/45) On the A class, looks like folks prepaid that one, but I will look at it and...

Here's the Delinquencies in the pipeline (i..e. they haven't reached that foreclosure or REO level yet...)

This is the same view as all that data, but in chart form...

The snapshot is a 'Collateral Performance' view of a particular ABS deal (in this case IMSA 2006-SD1) as sourced by Bloomberg CMO. This particular mortgage security only has one 'class' of issuance (some mortgage securities can have multiple 'classes' bundled up within them). The original...

By Matthew Leising June 13 (Bloomberg) -- MF Global Ltd., the futures broker that lost $141 million earlier this year on unauthorized wheat trades, said it has set aside $10 million for potential civil penalties from U.S. regulatory probes. The company today disclosed two...