Off the back of some recent modeling upgrades, Alphacution is finally able to share sample analysis of one of the largest customer accounts in the US equity option market: Parallax Volatility Advisors, LP...
Alphacution leverages rarely disclosed data - in this case, from option market maker, Cutler Group, LP - to estimate the revenue potential of an option market share point...
Alphacution's estimates of market share for open interest of US equity options improves our understanding of market share by US equity option trading volume for SIG and, perhaps more importantly, others...
Based on new and updated modeling for a group of option market makers - including Group One Trading, Wolverine Trading, and Cutler Group - Alphacution shares new perspective on market share...
Are we having an impact? No one's talking. But, the data speaks anyway...
A master class in risk management was performed during the peak of the GameStop meme stock frenzy. The question is: Who performed it?
Bloomberg's Tom Maloney recently shed some light on Jane Street's jaw-dropping revenue figure for the 12 months ending March 2021. Here, Alphacution circles back to provide a kaleidoscopic view of what that success looks like from a trading strategy perspective...
"There is nothing to writing. All you do is sit down at a typewriter and bleed."Ernest Hemingway Tuesday, April 6, 2021 was a good day for Alphacution in the press... The morning started with a feature by Bloomberg Editor Tom Maloney, "Citadel Gets the Spotlight," wherein he tells the story of Ken Griffin and Citadel Securities' rise as major trading force in the post GFC landscape and - most notably since GameStop - as a recent focal point of politicians and regulators. (I'm sure Ken is not thrilled with the title image.) Here at Alphacution, this article will be remembered primarily for two things: First, for providing a few useful financial tidbits - and, second, for placing a few of our words in the largest font in our history to date - Should it have been "Amazonization" or "Amazonification"? Either way, you get the gist... One more thing on this: I may have told this tale before, but after throwing an unsolicited sharp elbow in Tom's direction in our December [...]
This is the fuel that ignites the chaos. Without it, the New Market Kamikazes run into the friction that keeps the rubber on the road...
"If you are not paying for the product, then you are the product."The Social Dilemma In a rare display of miscalculation, Citadel may have overplayed its hand... Here's the setup: According to Bloomberg, "Citadel Securities LLC has sued the U.S. Securities and Exchange Commission (SEC) over the regulator’s approval of an order type introduced by stock-exchange operator IEX Group Inc." Approved by the SEC in August and launched on October 1, IEX's discretionary limit order type - or, "D-Limit" - is essentially a mechanism designed to protect liquidity providers from potential adverse selection by latency arbitrage strategies - otherwise known in less polite company as getting "picked off" on the basis of stale quotes. In a comment letter, dated April 23, 2020, Citadel Securities expresses its objection to IEX's proposal, in part, because it "will broadly and indiscriminately affect myriad liquidity takers, including retail and institutional investors as well as market makers in equities and related asset classes, such as ETFs, options, and futures." (Hold that thought for a minute...) Now, [...]
