So You Want To Replicate Julian Robertson's Constant Maturity Swap Trade. Just Call Morgan Stanley

Tyler Durden's picture

Comment viewing options

Select your preferred way to display the comments and click "Save settings" to activate your changes.
Michael's picture

OT; Political

Cap N Trade not called Cap N Trade anymore :
John Kerry now calls it :
“The Pollution Reduction and Investment Incentive Mechanism”.”


Here’s another good one I renamed.

US Surveillance and Rights Reduction Act aka Patriot Act

We will change the name of any act by congress to more accurately reflect the contents of any act up for a vote or passed by congress!

You don't have to refer to a misnamed act by congresses given name. You can rename any act to it's truthful descriptive name.

We should have a poll on what the proper name of any act should be, up for a vote or passed by congress.


Screw saving the planet. How about we save our own country first.

putbuyer's picture

I'm with you brother. I think David Kahane sums it up pretty well.

In this brave new world that’s a’borning, everything will change. Your money will be worth nothing. Your houses will be worth nothing. You won’t be able to afford even an energy-saving light bulb, much less turn it on. The jobs you’ll get — if you can get jobs — will be the modern equivalent of the Irish and African-American tarriers who dug the IRT subway lines in Manhattan around the turn of the last century for ten cents an hour, if they didn’t die first. Luckily for us, you’re too busy with Michael Jackson grief, Ed McMahon grief, Farrah Fawcett grief, Gale Storm grief, David Carradine grief, and Billy Mays grief to pay the slightest bit of attention to what is really going on.

AN0NYM0US's picture

“The Pollution Reduction and Investment Incentive Mechanism”

managed by the “Pollution Reduction and Investment Committee” (PRICK)

Anonymous's picture

October 9, 2009
Just over a year after economic calamity brought promises of reform from Washington, has Wall Street really changed? Former International Monetary Fund chief economist Simon Johnson and US Rep. Marcy Kaptur (D-OH) report on the state of the economy.

TumblingDice's picture

Hmmm...I may have to talk to MS pretty soon about this lucrative opp.

AN0NYM0US's picture

and this was JR's favorite trade back in the dark days of October 2008
Curve Steepeners (starting @ minute 2:20)

and here is an article from marketfolly earlier this year
Julian Robertson's Steepener Swap Play (Shorting US Treasuries)

Michael's picture

Overy at most people are rooting for Iran.

Cheeky Bastard's picture

so am I ( but those people at Infowars are generally fucked up IMHO )

deadhead's picture

that 9-24 high on spx closed a lot of those bears out.

they are just waiting.  first whiff of fear and first selling actions by the long funds will see the pounce. volumes, volumes, volumes.

putbuyer's picture

From Trading Places

The people with pork belly contracts are thinking,

"Hey, we're losing all our money and Christmas is coming.

"I won't be able to buy my son the GI Joe with the Kung Fu grip.

"And my wife won't make love to me cos I ain't got no money."

They're panicking, screaming, "Sell, sell."

They don't want to lose all their money.
They are panicking right now. I can feel it.
Look at them.
bonddude's picture

"advise our clients interested in bellies to buy at ...

Mr. Valentine has set the price...

Well done Wiliam, very well done."

Anonymous's picture

I'm derivatives ignorant so pls help: under the ATM trade example, if 30Y rates rise by 300bp to 8.38% in 5 yrs, the trader has made approx 3x? If he does the spread trade, he makes no more than approx 6x?

McGriffen's picture

not necessarily, it's not a linear effect.  For the 5yr ATM, the option should gain if rates move higher above the 5.38% rate or ATM.  But the option will also lose value over time as maturity draws nearer as each month passes (call it a "roll-down" to the final mature date).

Ideally, to me, trade like this works if it can be sold in 18-30 months with rates higher and value remains to the next buyer.  An important wildcard is market volatility, which doesn't lend istelf to a quick "blog" explanatory.  IE, greater levels of volatility in US interest rates could prove beneficial if the trend is to higher rates.

Lionhead's picture

I'm looking to put on the short bond hedge again to protect my corporate bond holdings & pick up additional gains from the hedge. Robertson's put me on to this trade earlier this year & was most lucrative. Short with puts, TBT, or RRPIX depending on one's experience, or use his strategy for a more complex trade.

Looking for a measured move in gold to $1328 out of the massive head & shoulders pattern that's been put in with the neckline breaking this week decisively.

At some point in time, Bernanke's juggling of all markets will fail & the "energy" expended in the manipulation of prices will release in the opposite direction as it always does. Bring it on Ben, I'm waitin' for ya...

McGriffen's picture

thank you for finally posting a comment to the actual point of this column.  Sweet lord, sometimes the gibberish is a tad much.

long afew TBT here...difficult to see the UST 10yr testing 3.0% again with the amount of supply coming.  Inflation is their goal, or seems to be for the FED

Lionhead's picture

McG, I'm waiting for a breakout on TYX to establish the short hedge. Watch that upper TL closely for your trade. Resistance at 4.60%. The 200 sma has provided support for TYX. Good Luck!

On your point of gibberish, what is needed is for folks here to translate the fundamental info into a trade. Information without action is wasted.

McGriffen's picture

Indeed...harumph harumph harumph (Blazin' Saddles scene).  Postings such as this made about out-of-money CMS options might belong under a separate categorical header,like "educational".  Fairly technical information this is

Anonymous's picture

You guy are crazy, why would you want the demise of the US? You will die fighting a battle that was set to win before the first shot fired. Like Clinton said, "No body wins betting against the US"