Jane Street Group

Alphacution Publishes “Simplex Trading, Unadjusted”

In this 67-page, 64-exhibit chart book, “Simplex Trading, Unadjusted,” Alphacution borrows the spotlight from the record-setting volumes in the US options market for 2021 and focuses it in on one of the key – yet, relatively little known – players in the space: option market maker, Simplex Trading, LLC. Taking some of its recent modeling upgrades for an initial spin, Alphacution performs its unique brand of visual display on public regulatory data to present what is likely to be an unprecedented review of such a secretive player operating in such a complex arena like Simplex.

By |2022-01-04T23:09:08-05:00December 31st, 2021|For Subscribers|

Outlook 2021: The Drunk-on-Impunity Mania Arrives

"You cannot escape the responsibility of tomorrow by avoiding it today."Abraham Lincoln With protestors storming the U.S. Capital - some of which breaching the outer doors and freely strolling the U.S. Senate floor - as surreal and unprecedented backdrop, I sit down to organize a sketch of Alphacution's outlook for the year ahead, starting with a very wide lens: The U.S. economy - much like the rest of the other "developed world" economies - is naturally weaker than the meticulously curated employment and productivity numbers suggest. Technology adoption (from workflow automation to social media distraction), growing debt burdens, ossified resource allocation practices, cross-region labor arbitrage, deteriorating infrastructure, and other factors all converge to deteriorate "life, liberty and the pursuit of happiness" for a growing portion of the population. The COVID pandemic of 2020 - and however long it remains disruptive throughout 2021 as vaccines are being rolled out - acts as an accelerant of many of these factors. Ours is a deteriorating version of capitalism. Symptoms emblematic of the stage [...]

By |2021-01-06T23:36:37-05:00January 6th, 2021|Open|

Alphacution’s Top Stories for 2020

"You can't connect the dots looking forward; you can only connect them looking backwards. So you have to trust that the dots will somehow connect in your future. You have to trust in something - your gut, destiny, life, karma, whatever." Steve Jobs I was going to start out by saying that it's been a pivotal year for Alphacution. Problem is, I said the same things at this time last year. So, I supposed that means it's been a good coupla years. The pandemic, volatility, subsequent lockdown - and some luck in timing - drove a lot of attention towards Alphacution's content in 2020. Clearly, Robinhood and payments for order flow (PFOF) were top themes for the year. Our Feed post on Robinhood and trailing stop orders led the year in page views, and represented like no other before it what it looks like when a story goes viral. Not to be outdone, the timely post on the downfall of Ronin Capital also attracted a ton of attention. In fact, if [...]

By |2021-01-04T15:32:41-05:00December 31st, 2020|Open|

According to D. E. Shaw, RenTech and Other Legends: Hindsight is Not 2020

"Quality means doing it right when no one is looking."Henry Ford I couldn't find the exact reference, but sometime between about 2010 and 2015 I wrote (for TABB Group) that when the market regime eventually shifted from the core drivers of the long, low volatility period of the post-GFC era, many quant models would become disoriented and their performance would suffer. This is simply because the behavioral cues of the new chapter would not be embedded in the historical market data of the prior period upon which those models had been trained. Well, that scenario finally played out this year... So, instead of following the well-worn tradition of preparing a lengthy "Year in Review" post on market highlights and lowlights as we bring this historically bizarre and disorienting year to a close, I thought to let a series of illustrations from some of the world's most legendary players show you symbols for how their year appears to have gone (through Q3 2020) and, by implication, how broad groupings of strategies [...]

By |2020-12-23T21:35:10-05:00December 22nd, 2020|For Subscribers|

The Evolving Value of 13F Reporting: Building a Macro-Structure Cockpit

“The Initial Mystery that attends any journey is: how did the traveler reach his starting point in the first place?” - Louise Bogan, poet and author After 40 years, the Securities and Exchange Commission (SEC) announced on July 10, 2020 that it had proposed to amend Form 13F to update the reporting threshold for institutional investment managers and make other targeted changes. The proposal would "raise the reporting threshold to $3.5 billion, reflecting proportionally the same market value of U.S. equities that the current threshold - $100 million - represented in 1975, the time of the statutory directive." Furthermore, the new threshold is expected to "retain disclosure of over 90% of the dollar value of the holdings data currently reported while eliminating the Form 13F filing requirement and its attendant costs for the nearly 90% of filers that are smaller managers." Now, those of you who have been following Alphacution's work know that we have leveraged 13F data in ways that no one else has ever replicated, and therefore, has become [...]

By |2020-10-01T21:33:33-04:00July 30th, 2020|For Subscribers|

A Flock of Canaries: From Allston to XTX

"You don’t lead by pointing and telling people some place to go. You lead by going to that place and making a case." - Ken Kesey   If you believe - as we do - that everything is connected to everything else, then it stands to reason that all events have potential to be seen as the proverbial canary in the coal mine. Therefore, what we really need to do is notice stuff and connect dots. Here's a few of our latest observations... On February 10, 2020, Bloomberg reported "high-frequency firm Allston cuts employees amid low volatility," and further noted that this move follows XR Trading's 10% headcount reduction in late 2019. This got us thinking about the tier of smaller to mid-sized proprietary trading firms and if any of the available data (which currently tends to be US equities-centric) provide clues as to the health of those firms - as well as that space in the market ecosystem (where prop firms and market makers reside) that we typically call [...]

By |2020-08-17T07:14:02-04:00February 20th, 2020|For Subscribers|