Welcome to Alphacution’s Document Library. The purpose of this repository is to showcase Alphacution’s deeper and more comprehensive research relative to the analysis found on our Feed. Note that some of the reports found here may have been commissioned by clients, excerpted and distributed by alliance partners, or developed in conjunction with our network of collaborators.
Note that these documents are available as PDFs. Depending on your browser’s behavior and Acrobat Reader Plugin availability, the PDF will display within your browser or will automatically download.
US Equity Option Market Makers: Core Strategies and Market Shares, 2019-2023 – Executive Summary
In this 187-page, 213-exhibit, 45,000-word case study, “US Equity Option Market Makers: Core Strategies and Market Shares, 2019 – 2023,” Alphacution publishes its most comprehensive analysis to date based on the modeling of 17 proprietary trading firms who serve variously as market makers in US equity derivatives across the backdrop of 5 interconnected product classes in futures and options. The objective of this research project was to shed new light on US equity option market mechanics by exploring the products, players and strategies that comprise the dramatic increase in total contract volume – with specific emphasis on the 5-year focus period, 2019 – 2023 , that symbolizes the beginning of a new era in US equity option trading…
After a detailed introductory setup, this report is organized in 3 sections: First, market composition is presented to showcase the volumes and interconnected nature of all relevant US equity derivative product classes. Second, a new strategy factor library is leveraged to highlight core strategy preferences of the 17 members of the “featured option market making group,” wherever applicable. And third, based on interpretations from the prior sections, the output of a 2-factor model, that hinges on estimates of weighted average annual trading velocity per market maker, drives the volume share estimates – together, all of which yielding innumerable discoveries and insights about these players and this ecosystem…
Though the unprecedented scale of this case study is indicative, this is Alphacution’s current version of a masterpiece; the new crown jewel of a unique research library developed by hand, exclusively with publicly-available data (with the exception of certain daily market data samples), over years of consistent focus, patience and curiosity…
This and related case studies are available to premium and enterprise subscribers or via individual document purchase…
US Equity Option Market Makers: Core Strategies and Market Shares, 2019-2023
In this 187-page, 213-exhibit, 45,000-word case study, “US Equity Option Market Makers: Core Strategies and Market Shares, 2019 – 2023,” Alphacution publishes its most comprehensive analysis to date based on the modeling of 17 proprietary trading firms who serve variously as market makers in US equity derivatives across the backdrop of 5 interconnected product classes in futures and options. The objective of this research project was to shed new light on US equity option market mechanics by exploring the products, players and strategies that comprise the dramatic increase in total contract volume – with specific emphasis on the 5-year focus period, 2019 – 2023 , that symbolizes the beginning of a new era in US equity option trading…
After a detailed introductory setup, this report is organized in 3 sections: First, market composition is presented to showcase the volumes and interconnected nature of all relevant US equity derivative product classes. Second, a new strategy factor library is leveraged to highlight core strategy preferences of the 17 members of the “featured option market making group,” wherever applicable. And third, based on interpretations from the prior sections, the output of a 2-factor model, that hinges on estimates of weighted average annual trading velocity per market maker, drives the volume share estimates – together, all of which yielding innumerable discoveries and insights about these players and this ecosystem…
Though the unprecedented scale of this case study is indicative, this is Alphacution’s current version of a masterpiece; the new crown jewel of a unique research library developed by hand, exclusively with publicly-available data (with the exception of certain daily market data samples), over years of consistent focus, patience and curiosity…
This and related case studies are available to premium and enterprise subscribers or via individual document purchase…
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. A PDF download version of this report is available to Enterprise Subscribers upon request.
The Transformation of Belvedere – Executive Summary
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 appears to have undergone over the past few years while maintaining its strengths in SPX options. This case study also showcases certain achievements, trading revenue (sample), risk framework, and trading preferences, as well as key comparisons and new context on the US-based strategies of legendary Amsterdam-based option houses, Optiver and IMC Financial Markets, and new insights on the boom in zero days to expiry (0DTE) options and their impacts on a broader constellation of US option market makers…
This and related case studies are available to premium and enterprise subscribers or via individual document purchase…
The Transformation of Belvedere
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 showcases certain achievements, trading revenue (sample), risk framework, and trading preferences, as well as key comparisons and new context on the US-based strategies of legendary Amsterdam-based option houses, Optiver and IMC Financial Markets, and new insights on the boom in zero days to expiry (0DTE) options and their impacts on a broader constellation of US option market makers…
IMC – International Marketmakers Combination
In this 98-page, 115-exhibit, 22,400-word case study, “IMC: International Marketmakers Combination,” Alphacution publishes its findings on global option market maker and equity index option specialist, Amsterdam-based IMC BV and its affiliates, including – most notably – its US-based affiliate, IMC-Chicago, LLC (often known as IMC Financial Markets). Founded in 1989 by two floor traders on Amsterdam’s European Options Exchange, today IMC is one of only three Tier I proprietary trading firms with legacy in the 1980’s – along with legendary option trading houses, Philadelphia-based Susquehanna International Group, LLP and Amsterdam-based Optiver BV – and one of only eight “prop firms” globally with more than 1,000 employees. Beyond showcasing certain achievements, revenue, risk framework, and trading preferences of IMC, this case study – Alphacution’s 17th such report showcasing the world’s leading technology-enhanced trading firms – also provides context for the boom in zero days to expiry (0DTE) options and its impacts on a constellation of US option market makers…
This and related case studies are available to premium and enterprise subscribers or via individual document purchase…
IMC – International Marketmakers Combination – Executive Summary
In this 98-page, 115-exhibit, 22,400-word case study, “IMC: International Marketmakers Combination,” Alphacution publishes its findings on global option market maker and equity index option specialist, Amsterdam-based IMC BV and its affiliates, including – most notably – its US-based affiliate, IMC-Chicago, LLC (often known as IMC Financial Markets). Founded in 1989 by two floor traders on Amsterdam’s European Options Exchange, today IMC is one of only three Tier I proprietary trading firms with legacy in the 1980’s – along with legendary option trading houses, Philadelphia-based Susquehanna International Group, LLP and Amsterdam-based Optiver BV – and one of only eight “prop firms” globally with more than 1,000 employees. Beyond showcasing certain achievements, revenue, risk framework, and trading preferences of IMC, this case study – Alphacution’s 17th such report showcasing the world’s leading technology-enhanced trading firms – also provides context for the boom in zero days to expiry (0DTE) options and its impacts on a constellation of US option market makers…
This and related case studies are available to premium and enterprise subscribers or via individual document purchase…
European ETP Spread Analysis For Systematic Internalisers
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. To our delight, this research produced an outline for a composite model of SI/wholesaler trading preferences – given that the underlying techniques are portable. Check it out…
This and related case studies are available to premium and enterprise subscribers or via individual document purchase.
XTX [Invades] Markets
In this 87-page, 83-exhibit, 22,700-word case study, “XTX [Invades] Markets,” Alphacution publishes its findings – a truly incredible story – about the youngest proprietary trading company to cross the $1 billion revenue threshold in the modern markets era – and the founder, Alex Gerko, who has led that run. Based in London and breaking into the top 10 ranks of overall FX traders before its second birthday, conventional reporting states that XTX Markets Limited was spun out of quant hedge fund manager, GSA Capital Partners, in 2015. This is mostly true. However, the full story of Gerko and his XTX group has never properly been told. In this case study, Alphacution has gone further than it’s ever gone before. Finding data in places like Singapore, France, and India – places where XTX has staked satellites of Gerko’s vision – to paint a clearer picture of how, and maybe why, the company has managed to become so expansive in such a short period of time. Alphacution will not be the last to tell a more complete version of XTX’s story, but we may be the first to attempt it. Our version of that story, the beginnings of which are known to very few insiders, starts in October 2010…
This and related case studies are available to premium subscribers or via individual document purchase.
XTX [Invades] Markets – Executive Summary
In this 87-page, 83-exhibit, 22,700-word case study, “XTX [Invades] Markets,” Alphacution publishes its findings – a truly incredible story – about the youngest proprietary trading company to cross the $1 billion revenue threshold in the modern markets era – and the founder, Alex Gerko, who has led that run. Based in London and breaking into the top 10 ranks of overall FX traders before its second birthday, conventional reporting states that XTX Markets Limited was spun out of quant hedge fund manager, GSA Capital Partners, in 2015. This is mostly true. However, the full story of Gerko and his XTX group has never properly been told. In this case study, Alphacution has gone further than it’s ever gone before. Finding data in places like Singapore, France, and India – places where XTX has staked satellites of Gerko’s vision – to paint a clearer picture of how, and maybe why, the company has managed to become so expansive in such a short period of time. Alphacution will not be the last to tell a more complete version of XTX’s story, but we may be the first to attempt it. Our version of that story, the beginnings of which are known to very few insiders, starts in October 2010…
This and related case studies are available to premium subscribers or via individual document purchase.
The Proprietary Traders, Part I – Global Roster and Select Rankings
In this 19-page, 15-exhibit, 2,800-word case study, “The Proprietary Traders, Part I – Global Roster and Select Rankings,” Alphacution publishes the first installment of its research series designed to explore the secretive yet influential community of nearly 100 proprietary trading firms spread across the world today, from traditional cash equities market makers to cryptocurrency market makers and liquidity providers. In Part I, Alphacution presents its global roster of proprietary trading firms – including rankings from select perspectives – set against the backdrop of its foundational market ecosystem map and illustrations of the unique importance of this community of “structural alpha’ trading firms. Subsequent installments of this research series will focus on themes like revenue estimation, financial asset rankings, strategy mix, portfolio construction parameters, competitive analyses and related topics. This and related case studies are available to premium subscribers or via individual document purchase.
The Chicago Trading Company with Appendix on European Trading
In this updated 75-page, 77-exhibit chart book, “The Chicago Trading Company with Appendix on European Trading,” Alphacution continues its focus on the explosion of activity in US option markets with a deep dive into another leading option trading firm, CTC, LLC. In this report, Alphacution leverages evolving modeling capabilities to explore its first example of a proprietary trading firm with core concentration in index options along with the peripheral suite of cash, futures and other option products used to capture volatility arbitrage opportunities. In addition, this version of the report is published with an appendix that details key aspects of the firm’s London-based affiliate, CTC London Limited. Furthermore, this research sets the stage to potentially identify (and rank) other large index option players with similar strategies where the regulatory data is not specifically disclosing exposures to index options. The complete chart book is available to premium subscribers or via individual document purchase.
The Chicago Trading Company
In this 71-page, 69-exhibit chart book, “The Chicago Trading Company,” Alphacution continues its focus on the explosion of activity in US option markets with a deep dive into another leading option trading firm, CTC, LLC. In this report, Alphacution leverages evolving modeling capabilities to explore its first example of a proprietary trading firm with core concentration in index options along with the peripheral suite of cash, futures and other option products used to capture volatility arbitrage opportunities. Furthermore, this research sets the stage to potentially identify (and rank) other large index option players with similar strategies where the regulatory data is not specifically disclosing exposures to index options. The complete chart book is available to premium subscribers or via individual document purchase.
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 regulatory data to present what is likely to be an unprecedented review of such a secretive player like Simplex. The complete chart book is available to premium subscribers or via individual document purchase.
The Robinhood Effect – Executive Summary
In this 198-page, 273-exhibit, 33,000-word case study, “The Robinhood Effect,” Alphacution brings together data and modeling from 25 entities – 11 retail brokers and 14 wholesale market makers – to explain a new phenomenon that now lives at the center of the US capital markets ecosystem. Alphacution’s most ambitious research project to date, this report covers the governing liquidity economics framework that defines PFOF rates, the mechanics of Robinhood’s aggressive retail brokerage model, the transformation of the retail brokerage industry, the sophisticated strategy architectures of wholesale market makers, and the “retail flow factors” that impact all market actors in the ecosystem – among many other themes and avenues for future research. An executive summary is available for review and download by open subscribers (w/ free registration). The complete case study is available to premium subscribers or via individual report purchase.
The Robinhood Effect
In this 198-page, 273-exhibit, 33,000-word case study, “The Robinhood Effect,” Alphacution brings together data and modeling from 25 entities – 11 retail brokers and 14 wholesale market makers – to explain a new phenomenon that now lives at the center of the US capital markets ecosystem. Alphacution’s most ambitious research project to date, this report covers the governing liquidity economics framework that defines PFOF rates, the mechanics of Robinhood’s aggressive retail brokerage model, the transformation of the retail brokerage industry, the sophisticated strategy architectures of wholesale market makers, and the “retail flow factors” that impact all market actors in the ecosystem – among many other themes and avenues for future research. An executive summary is available for review and download by open subscribers (w/ free registration). The complete case study is available to premium subscribers or via individual report purchase.
Payment For Order Flow 2020, Part III: The Retail Flow Factor
In this 17-page, 21-exhibit presentation – Part III of Alphacution’s case study on payment for order flow (PFOF) – we present our preliminary development of the “retail flow factor” for 2020 based largely on a reconciliation of 606 data (from 10 retail brokers / 11 entities) and 605 data (from 7 wholesale market makers). The results include estimated monthly penetration of retail order flow relative to the full U.S. cash equities market for 2020 – including estimated breakdowns of odd lots and round lots – as well as some hints on where we will need to look next to further refine this factor in preparation for extending this analysis throughout 2021 and beyond…
Payment For Order Flow 2020, Part II: Broker Personas
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…
Payment For Order Flow 2020, Part I: Rate Heatmaps
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). It turns out, enhanced use of PFOF as the linchpin in a new zero-commission brokerage framework for retail investors (pioneered by Robinhood) sets a series of dominoes in motion that ultimately influence, to some degree, all stakeholders and all products in US listed markets. The question now is: To what end? In this 23-page, 20-exhibit deck, Alphacution presents PART I of its upcoming comprehensive case study, The Robinhood Effect, with a focus on order routing rate heatmaps.
Rise of Hudson River Trading – Executive Summary
In this 91-page, 102-exhibit case study, “The Rise of Hudson River Trading,” Alphacution adds another leading proprietary trading firm – and recent entrant to the $1 billion+ trading revenue club (2020e) – to its library focused on the most secretive and consequential players in the global markets ecosystem. Notable highlights include the history of Sun Trading and the impacts of its acquisition by Hudson River Trading (HRT) in Q1 2018, and explorations into the firm’s European trading operations, US equity and equity option strategies, comparative analysis with select competitors, and revenue estimation, among many other details. An executive summary is available for review and download by open subscribers (w/ free registration). The complete case study is available to premium subscribers or via individual report purchase.
