Deep Dive: 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.
Simplex Trading Disappears From Option Wholesaling
With the latest data in hand, Alphacution updates its analysis of troubled option wholesaler, Simplex Trading...
Alphacution Press: FT on “The Broken VIX”
We know things are going pretty well when an Alphacution guest post by derivatives specialist Don Dale is referenced by the Financial Times. See Robin Wigglesworth's "The 'Broken' VIX."
European ETP Spreads: Tripping Down The Rabbit Hole (UPDATED)
Alphacution takes a fascinating trip down the rabbit hole with some new data time-weighted BBO spreads for ETPs traded on the London Stock Exchange. Where we're headed: Detailing the product selection and trading preferences of a certain subset of systematic internalisers...
Alphacution Press: Financial Times on Off-Exchange Traded Funds
The financial press is reading Alphacution! This one showed up without any direct involvement from Alphacution thanks to Robin Wigglesworth of the Financial Times in "Off-Exchange Traded Funds."
Guest Post: The VIX Is Not Broken
Guest Post: Derivatives specialist, Don Dale, offers a thoughtful case for why the CBOE Volatility Index (VIX) is not broken, despite punditry claims to the contrary. Two pearls of wisdom, up front: 1) Pundits like to complain; and, 2) Be careful what you wish for!
The Mighty SPY
As part of its current spotlight on the exchange-traded products (ETP) component of the global markets ecosystem, Alphacution digs into the versatility and liquidity of the SPDR S&P500 ETF Trust (SPY)...
Bird’s Eye View: The Exchange-Traded Products Market 2022
Once or twice a year, Alphacution likes to provide an update on the global exchange traded products (ETP) market given its relevance to the market ecosystem - and many of the players we tend to track so uniquely. Here it is - along with notable highlights...
The Transformation of GTS
Hockey stick! Prior to 2020, proprietary trading firm and market maker, GTS Securities, made a series of strategic acquisitions. Here's an overview of what's happened since...
Outlook 2023: That Giant Sucking Sound (Updated / Corrected)
There are two causes of the "giant sucking sound" that you hear - and need to pay attention to for the year ahead. The first is painfully obvious; the second should be (painfully obvious), but likely isn't. Alphacution makes its case...
