With latest data in hand, Alphacution shows that the zero-day option (0DTE) phenomenon has contributed to long-term declines in aggregate payment for order flow (PFOF) levels thereby causing a ripple of subtle and not-so-subtle impacts in the market ecosystem...
Returning to a provocative thread from late 2022, Alphacution updates some of Morgan Stanley's latest moves in wholesale market making...
On the 1-year anniversary of what would turn out to be Part I of this thread, Alphacution adds new details to the story of New York-based prop trading firm GTS Securities and its emerging adventures in option market making...
For the longest time, the use of technology gradually removed excess costs and other inefficiencies from financial markets. This evolution wasn't just about speed, although that was a key element. And then advanced quantitative trading techniques, social media techniques, and mobile-first technologies converged. This is Alphacution's view on what's happened since and what that means for the road ahead...
In further preparation for its upcoming case study focused on option market makers, Alphacution identifies a seemingly insignificant shard of evidence that may represent Tower Research Capital's first foray into equity option trading...
Alphacution has been quite busy developing its next case study focused on option market makers. To build context for that research, we have been expanding our understanding of institutional option traders. It turns out that there is a familiar cast of characters in this space, including some of the most legendary quantitative hedge fund managers...
Alphacution continues to expose breakthroughs from the development of its proprietary version of the 13F dataset. Our example comes from pioneer statistical arbitrage group D. E. Shaw & Co., Inc... The full Feed post is available to Silver and Premium subscribers...
Alphacution continues to expose breakthroughs from the development of its proprietary version of the 13F dataset. Our example comes from pioneer statistical arbitrage group D. E. Shaw & Co., Inc...
Alphacution presents an excerpt from its analysis of the relationship between Rule 605 data and net trading income from retail order flow - along with a selection of updated charts for Virtu Financial for Q3 2023... The full Feed post is available to Silver and Premium subscribers...
For wholesale market makers in US equities there appears to be a relationship between Rule 605 data and net trading income from retail order flow. For Virtu Financial, a public company and the closest example to a "pure play" in US equity wholesaling, this relationship could have been estimated before the Q3 2023 earnings release date. In this Feed post, Alphacution shares its analysis for this finding - and why it's not the most important component of this discovery...
