Virtu’s Option Market Making: The “Record Year” That Wasn’t
With the latest data in hand, Alphacution follows up on Virtu's claim of "another record year in options market making in 2022."
Alphacution Press: NYT on Sam Bankman-Fried and Jane Street
Alphacution adds a few thoughts on risk management and Jane Street to Joe Rennison's New York Times article on Sam Bankman-Fried: "‘Effective Altruism’ Led Bankman-Fried to a Little-Known Wall St. Firm"
About Virtu’s “Record Year” in Options Market Making
Virtu's "record year in options market making" claim is not possible in terms by which real option market makers operate...
Alphacution Press: L’Agefi Sur Comment Ken Griffin Bâtit Son Empire
L'Agefi sur comment Ken Griffin bâtit son empire. Le financier américain a construit une forteresse associant un hedge fund et un teneur de marché.
Alphacution Press: Wall Street Journal on Retail Investor Market Retreat
The Wall Street Journal's Gunjan Banerji uses Alphacution's estimates in "Some Amateur Investors Retreat From Markets."
IMC Overtakes SIG
Alphacution drops a few bars and a few charts framing IMC Financial Market's significant achievement in option wholesaling...
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...