Susquehanna Securities

Citadel Securities, SIG: An Analysis of Single-Security vs Index Option Allocations

Alphacution compares the two largest players in US equity options - SIG affiliate, Susquehanna Securities and Citadel Securities - based on a 10-year period of allocations to single security options (SSOs) and equity index options, including indications of scale variance, key factor preferences, and strategy shifts...

By |2024-05-05T23:14:17-04:00May 2nd, 2024|For Subscribers|

Susquehanna Securities and the Hidden Arbitrage Strategy – Part II

In this Feed post, Alphacution updates an analysis of Susquehanna Securities - the primary risk-warehousing affiliate of legendary options powerhouse, Susquehanna International Group (SIG) and the place where the largest piece of SIG's global market making operation resides - originally published in Dec 2020. Now, more than 3 years later, Alphacution adds significant new color to that analysis - including 12 charts - and sets the stage for a much more nuanced understanding of the broader group of option market makers...

By |2024-04-08T20:14:58-04:00April 5th, 2024|Silver / Premium|

Case Study: Susquehanna Securities – US Listed Equity Derivatives Share, 2014-2023

In this brief 6-page, 6-exhibit case study teaser, Alphacution presents its estimates for the overall market share of US listed equity derivatives volume represented by Susquehanna Securities, the affiliate of legendary options trading powerhouse, Susquehanna International Group (SIG), that’s home to the group’s US market making operation. This report is presented in the context of Alphacution’s forthcoming case study on option market makers’ share of US listed equity derivatives which will include Alphacution’s market share estimates for Citadel Securities, Optiver US, LLC, and IMC Financial Markets, among many others...

By |2024-03-03T18:30:41-05:00February 29th, 2024|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|

Susquehanna Securities and the Hidden Stat Arb Strategy

"The mind is not a vessel to be filled but a fire to be kindled.."Plutarch The comment has been made here before, likely more than once: As we go along the path of our research, our ability to see - to interpret the data, and the shapes that are formed from that data - tends to improve. This is not only true of newer shapes forged from amalgamations of newer data - and additional sources - but of older shapes, as well. Recently, I stumbled over a series of charts first published in July 2019 in the Feed post, "Ranking Strategy Speed for Top Quants, Market Makers," which remains among our more fascinating discoveries. Therein, we compared average stock position sizing for a list of notable trading and hedge fund firms, from Renaissance Technologies (RenTech), D. E. Shaw, and Two Sigma to Jane Street, Hudson River Trading (HRT), and Tower Research Capital (TRC). Citadel Securities and Susquehanna Securities were in the mix, as well. The rankings were roughly delineated between [...]

By |2023-08-24T13:22:06-04:00December 1st, 2020|For Subscribers|