Weekly Options Cannibalize PFOF
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...
Morgan Stanley: Swimming Against The Tide
Returning to a provocative thread from late 2022, Alphacution updates some of Morgan Stanley's latest moves in wholesale market making...
The Transformation of GTS – Part II
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...
The Mania Market And The Emotional Money
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...
Tower Research Capital: Seeking Option Traders?
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...
Guest Post: 3 Volatility Market Predictions for 2024
Guest contributor and option trading specialist, Don Dale, offers a few of his top volatility predictions for 2024...
Millennium, Two Sigma, D E Shaw: Big Quants, Big Options
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...
D E Shaw: Exposing Mid-Frequency Sector Bias
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...
D E Shaw: Exposing Mid-Frequency Sector Bias
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...
Virtu’s Q3 Net Trading Income Was Predictable Before Earnings Release
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...
