D E Shaw: Exposing Mid-Frequency Sector Bias
Alphacution continues to expose breakthroughs from the development of its proprietary version of the 13F dataset. Our example comes from pioneer statistical arbitrage group D. E. Shaw & Co., Inc...
Virtu’s Q3 Net Trading Income Was Predictable Before Earnings Release
Alphacution presents an excerpt from its analysis of the relationship between Rule 605 data and net trading income from retail order flow - along with a selection of updated charts for Virtu Financial for Q3 2023... The full Feed post is available to Silver and Premium subscribers...
Virtu’s Q3 Net Trading Income Was Predictable Before Earnings Release
For wholesale market makers in US equities there appears to be a relationship between Rule 605 data and net trading income from retail order flow. For Virtu Financial, a public company and the closest example to a "pure play" in US equity wholesaling, this relationship could have been estimated before the Q3 2023 earnings release date. In this Feed post, Alphacution shares its analysis for this finding - and why it's not the most important component of this discovery...
The Evolving Value of Edge
What is the value of trading edge? Using "revenue per employee" as a comparative indicator, Alphacution dives deeper than ever before into Virtu Financial's market making business. The results cause a dramatic re-ranking of Virtu in a list of 10 market makers - plus a few other fascinating findings...
The Evolving Value of Edge (Silver and Premium Subscribers)
What is the value of trading edge? Using "revenue per employee" as a comparative indicator, Alphacution dives deeper than ever before into Virtu Financial's market making business. The results cause a dramatic re-ranking of Virtu in a list of 10 market makers - plus a few other fascinating findings...
Reverse-Engineering Risk For Quant Trading Strategies
After years of development, Alphacution is on the verge of significant breakthroughs in research output given ongoing enhancements to its curated 13F dataset, including strategy sector bias. These are the first samples of those breakthroughs...
The World After Derivative Securities Saturation
Alphacution builds on its ongoing "derivative securities saturation" theme including the combined proliferation of stock options, index options, equity futures options, exchange-traded funds (ETFs), and ETF options...
Alphacution Publishes “The Transformation of Belvedere” Case Study
In this 72-page, 75-exhibit, 17,400-word case study, “The Transformation of Belvedere,” Alphacution publishes its findings on equity index option specialist, Chicago-based Belvedere Trading. Founded in 2002 with a current team of ~300 employees, Belvedere’s story represents a unique addition to the Alphacution research library due to the significant strategy transformation it has undergone over the past few years while maintaining its strengths in SPX options. This case study also provides key comparisons and new context on the US-based strategies of legendary Amsterdam-based option houses, Optiver and IMC Financial Markets, along with new insights on the boom in zero days to expiry (0DTE) options and their impacts on a broader constellation of US option market makers…
Group One Trading: Through The 0DTE Lens
Group One Trading is not participating in the zero-days to expiry (0DTE) option boom. And yet, Alphacution shows how its data yields a pattern that illustrates certain 0DTE impacts on the broader US option market...
Robinhood Drops a Load on Morgan Stanley
Alphacution details anomalous behavior between Robinhood, Morgan Stanley & Co, and other wholesale market makers in recent retail option order flow...
