In this 34-page, 36-exhibit, 6,400-word Focus Note, "European ETP Spread Analysis For Systematic Internalisers," Alphacution publishes its findings from the core research objectives of this project: 1) credibly quantify the theoretical "gross" spread value for ETPs traded on LSEG, 2) credibly quantify the portion of this value for SIs, and 3) illuminate or elevate any other clues about the trading preferences of SIs.
Guest Post: Derivatives specialist, Don Dale, offers a thoughtful case for why the CBOE Volatility Index (VIX) is not broken, despite punditry claims to the contrary. Two pearls of wisdom, up front: 1) Pundits like to complain; and, 2) Be careful what you wish for!
Guest Post: Derivatives specialist, Don Dale, adds his final thoughts to potential year-end market impacts caused by the mechanics of one of the most successful option overlay products in the market today; the $15 billion JP Morgan Hedged Equity Fund...
Guest Post: Derivatives specialist, Don Dale, joins the Feed to explain potential year-end market impacts caused by the mechanics of one of the most successful option overlay products in the market today; the $15 billion JP Morgan Hedged Equity Fund...
Alphacution data and a quote included in the story, "Options trading activity hits record powered by retail investors, but most are playing a losing game" by CNBC reporter, Yun Li.
Life is like "Fletcher," until you figure out where you fit into the puzzle. This client testimonial is a dividend from Alphacution's puzzle-solving pursuits...
For those interested in a discussion about the "Robinhood Effect," the "retail flow factor," and other timely topics related to a deranged and deranging stock market, a playback of the June 10th DTCC event, "Active Management and the Critical Role of Data," can be accessed herein...
Alphacution contributor, Stanislav Dolgopolov, provides a detailed review of potential regulatory issues - including payment for order flow (PFOF), the multiplicity of roles of off-exchange market makers, and their informational advantages, among others - that may receive new scrutiny in the aftermath of the GameStop congressional hearings.
In Part I of Alphacution’s case study on payment for order flow (PFOF), we focused mainly on the rates paid by wholesale market makers to retail brokers under a full range of securities categories and order type scenarios. In this 22-page, 20-exhibit deck, Alphacution presents PART II of its upcoming comprehensive case study, The Robinhood Effect, with a focus on a concept called broker personas. Alphacution’s working hypothesis on this topic is that each retail broker – in fact, all order flow intermediaries – have a unique persona. This persona – a unique pattern formed by order type distributions – is a distillation of client trading behaviors. In this presentation, Alphacution demonstrates that broker personas are partly due to investor demographics and, more interestingly, partly due to broker influence. Furthermore, when we broaden our perspective to consider that retail brokers are now compensated for trade flows largely by their wholesaler counterparts, we see a clearer picture of how desired outcomes could be manufactured…
2020 will be remembered for many reasons. In the context of Alphacution’s ongoing research focus, we want to remember 2020 as the first full year of enhanced transparency into the mechanics and impacts of the long-held practice of payment for order flow (PFOF). In this 23-page, 20-exhibit deck, Alphacution presents PART I of its upcoming comprehensive case study, Payment For Order Flow 2020, with a focus on order routing rate heatmaps.
