Alphacution Press: Financial Times and Options Exchanges
Alphacution quoted in Financial Times story by Philip Stafford on options exchanges, “US options exchanges prepare to reopen trading floors” (May 3, 2020).
Cheap Volatility: A Lesson In Market Structure Mechanics
"The world breaks everyone, and afterward, some are strong at the broken places." - Ernest Hemingway Alphacution has always been fascinated by the players. Unlike the world of sport, market players have unique potential to influence the field of play, and thus create a feedback loop that influences other players, and so on causing market ecosystem evolution. In this game, the rulemakers and overseers - the referees - are typically playing catch up... This is not to [...]
Blast Off: First Look at Q1 First Responders
"It is action, not rest, that constitutes our pleasure." - John Adams Amidst the doom and uncertainty of any unfolding saga, there are always bright spots, if you know where to look. After all, every problem can be an opportunity in disguise. And so, besides the uptick in all things online relative to most things not online during a pandemic lockdown, the expectation has been that there would be some bright spots for listed market first responders - [...]
Going Hyperbolic: Fed Battles Volatility, Everything Else…
"The struggle itself towards the heights is enough to fill a man's heart. One must imagine Sisyphus happy." - Albert Camus "Captain Jack will get you high tonight And take you to your special island Captain Jack will get you by tonight Just a little push, and you'll be smilin'." - Billy Joel This one has a long fuse, but you might enjoy the customary overallocation of pictures as we get into it: In a March 22nd [...]
“We” Were Wrong About Jane Street
"Two wrongs may not make a right, but a thousand wrongs make a writer." - Dennis Miller "If you're not making mistakes, then you're not doing anything." - John Wooden In my last in-person meeting of the B.C. (Before Coronavirus) era, a noted Chicago hedge-fund-slash-market-making C-suiter told me: "You're just making this stuff up..." Answer: "Well, yes - yes I am. Based on an interpretation of an assembly of data supplied by you - and others..." There [...]
Hacking the Matrix: A New Era in Risk Perception
"Our comforting conviction that the world makes sense rests on a secure foundation: our almost unlimited ability to ignore our ignorance." - Daniel Kahneman Chances are, "global pandemic" wasn't in your bag of quantamental factors; at least not by any name other than slippage. But now that that cat is out of that bag - and, rightly or wrongly, the wheels of a response strategy have largely been set in motion - the least we should do against [...]
Ports in the Storm: US Options Exchange Rankings
“It’s not bragging if you can back it up.” – Muhammad Ali While so many seem to be pleasuring themselves with the Tiger King, some of us continue to geek out with the latest data. Now, with March so freshly in the review mirror, certain monthly and quarterly data updates are going to be among our first chances to benchmark the significance of what has just happened in capital markets. We started with a focused comparison of [...]
Parplus Impersonates LTCM, Drags Ronin Down
"Knowing is not enough; we must apply. Willing is not enough; we must do." - Johann Wolfgang von Goethe With a name like Parplus, it's difficult not to take the bait. Not quite as fruitful as Lev Parnas' company, Fraud Guarantee, but ripe nonetheless, given the circumstances... For instance, we may never know if the advice - as recounted by Carl Spackler - of the Dalai Lama ever entered Jim Carney's mind: Gunga galunga. And, we may [...]
ABN AMRO Clearing: Source of $200 Million Mystery Loss Revealed
“You can't connect the dots looking forward; you can only connect them looking backwards. So you have to trust that the dots will somehow connect in your future. You have to trust in something – your gut, destiny, life, karma, whatever." - Steve Jobs In an article published today (March 26) by Risk.net based on a statement also released today from ABN AMRO (below), new details about the demise of Ronin Capital emerge - along with that of a "mysterious second default." According to Risk.net, [...]
Marketquake 2020 – Volatility Update
“Do what you can, with what you have, where you are.” - Theodore Roosevelt In last week's Feed post, "Marketquake: The Volatility of Volatility," we set up a comparison of volatility levels - and duration - from the GFC with that of the current pandemic period. In that, I implied that elevated volatility persisted for 218 trading days after the initial GFC shock. In other words, it took about 218 trading days for the VIX to traverse [...]
