Billions of Odd Lots: Heart of the “Price Improvement” Mechanism – Part III
In a continuation from Parts I and II of this series, Alphacution presents a 20-chart walk through the remaining steps it needed to estimate the net price improvement value of odd lot shares - and thus, the total NPIV for all retail order size categories related to wholesale equity market maker, Citadel Securities, over the period 2020 - 2022...
Heart of the “Price Improvement” Mechanism – Part II
In a continuation from Part I of this exercise, Alphacution shares the first steps in estimating price improvement rates for odd lot orders based on data related to wholesale market maker, Citadel Securities...
Heart of the “Price Improvement” Mechanism – Part I
Given the approaching timing of the SEC's proposed overhaul of US equity market structure, Alphacution takes its analysis of 605 data to a new level with this one (using Citadel Securities as the initial example). Nearly four years of monthly price improvement rates per share and net price improvement values by order size and order type categories are among the highlights here...
Shape Shifter: US Retail Investor Behavior
Alphacution presents new perspectives on US retail investor behavior in equity options...
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...
