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soverby

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tT
发表于 2011-7-13 13:24 | 只看该作者
Why are the following buy signals(cheap securities)? Thanks.

large OAS
low option cost

 

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Pegasus2008

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发表于 2011-7-13 13:24 | 只看该作者
Remember large OAS means large spread (large cd rate). because of embedded options
Low option cost (remember options are cheap you need to buy)

Option cost = Z-spread - OAS. When OAS is large, the option cost is low.

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