The Tbill Market is Acting Very Strange, from Rocky Humbert
I see the following t-bill rates on my screen. The date is the t-bill maturity. The yield is the bloomberg conventional yield:It's still real money.
10/10/13 0.035%
10/17/13 0.112%
10/24/13 0.132%
10/31/13 0.112%
11/07/13 0.086%
11/14/13 0.096%
11/21/13 0.046%
11/29/13 0.035%
12/05/13 0.020%
12/12/13 0.020%
What is going on here? Let's assume that the government "defaults" (whatever that means) and the holders of the t-bills maturing on 10/17 and 10/24 cannot get their money back for a while. The market has priced "normalcy" (whatever that means) into the market with about a month....MORE
Rocky Humbert:
Cool! So I was all excited about backing up the truck and buying some … until I realized that for every $5,000 invested, I make $0.50. ($100 per million.)
I think this anomaly may be good to watch since it's the only objective market signal for assessing the probability. And so we have a baseline unfolding....
Back in the day J.P. Morgan was willing to accept a measly $1000 profit per $1,000,000 traded on the gold point arbitrage.
