Assuming there are tradeable options, just calculate the Implied Probability Distribution using the option prices and then you can see exactly what the market thinks is the risk in the trade. If you find a distribution with significant positive skew, it would support your trade idea.
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One often over-looked dynamic in the government bond markets, especially when discussions of negative yields come up, is the massive size of the non-economic players here (not just the CBs).
In other words, some of the biggest players in the bond markets simply don't care how "rational" the yields may be.
Large depository institutions like banks and insurance companies are required to allocate significant amounts of capital to "risk-free" instruments. They don't have a choice in the matter. Banking and insurance regulations force them to do so. Any time a new life insurance policy is sold, or a saver makes a deposit in his local bank, a portion of that money will go into government bonds.
Pension funds often have similar non-economic interests. It's a simple question of asset / liability management. Their capital allocation decisions are driven by actuarial considerations and risk-management guidelines.
Bond mutual funds, especially index funds, are also constrained by their investment guidelines. Mom & Pop investors see a positive yield in the Aggregrate Bond Index fund and buy it, not realizing that a significant portion of the index is invested in negative yielding government bonds. The lack of yield in this part of the index is compensated for by credit-spreads and OAS in the corporate and mortgage bond allocations, respectively.
Meanwhile, the availability of "risk-free" government debt continues to decline. In Japan the problem has become so acute that the secondary market for JGBs is almost non-existent. The depositories buy JGBs at issue and put them away. If they ever need to sell, the BOJ will hoover it up and the issue will never again see the light of day. Seriously many of these bonds are traded exactly twice in their entire life.
So it really doesn't matter how "irrational" negative yielding government bond debt is. Your local bank, your insurance company, your employee pension fund, and your bond index fund or ETF will buy it anyway.
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