Alphacution Publishes “The Transformation of Belvedere” Case Study

In this 72-page, 75-exhibit, 17,400-word case study, “The Transformation of Belvedere,” Alphacution publishes its findings on equity index option specialist, Chicago-based Belvedere Trading. Founded in 2002 with a current team of ~300 employees, Belvedere’s story represents a unique addition to the Alphacution research library due to the significant strategy transformation it has undergone over the past few years while maintaining its strengths in SPX options. This case study also provides key comparisons and new context on the US-based strategies of legendary Amsterdam-based option houses, Optiver and IMC Financial Markets, along with new insights on the boom in zero days to expiry (0DTE) options and their impacts on a broader constellation of US option market makers…

By |2023-10-09T22:18:42-04:00September 30th, 2023|For Subscribers|

Case Study: “IMC Financial Markets and the 0DTE Option Boom”

In this 98-page, 115-exhibit, 22,400-word case study, “IMC: International Marketmakers Combination,” Alphacution publishes its findings on global option market maker and equity index option specialist, Amsterdam-based IMC BV and its affiliates, including – most notably – its US-based affiliate, IMC-Chicago, LLC (often known as IMC Financial Markets). Founded in 1989 by two floor traders on Amsterdam’s European Options Exchange, today IMC is one of only three Tier I proprietary trading firms with legacy in the 1980’s – along with legendary option trading houses, Philadelphia-based Susquehanna International Group, LLP and Amsterdam-based Optiver BV – and one of only eight “prop firms” globally with more than 1,000 employees. Beyond showcasing certain achievements, revenue, risk framework, and trading preferences of IMC, this case study – Alphacution’s 17th such report showcasing the world’s leading technology-enhanced trading firms – also provides context for the boom in zero days to expiry (0DTE) options and its impacts on a constellation of US option market makers… This and related case studies are available to premium and enterprise subscribers or via individual document purchase…

By |2023-06-26T22:42:38-04:00June 26th, 2023|For Subscribers|

The Mother of All PFOF Charts – Q3 2022 Edition, Part II

Part II - Equity PFOF Volumes / Wholesaler Market Shares: Alphacution organizes and distills 33 months of payment for order flow (PFOF) data from 14 retail brokers and 13 wholesale market makers to place a wide-angle frame around the US Securities and Exchange Commission's upcoming proposals for a major equities market structure overhaul...

By |2022-12-14T23:26:37-05:00December 14th, 2022|For Subscribers|

Optiver, IMC, and a Shout Out to AmsterdamTrader

It has been almost exactly 2 years since "Jack" - the mastermind behind the Amsterdamtrader blog that chronicled a ton of insider's knowledge about the high-frequency trading and market making world from about 2009 thru 2016 - posted his closing submission. Despite that, I still wanted to pause for a minute to give props where they are due. The contents of the Amsterdamtrader still sit out there in the blogosphere, open for any particular puzzle solver to stumble onto. It was here that I found several missing pieces to Alphacution's modeling puzzle belonging to Optiver and IMC. Here's a first sample (or two) of what has come of that discovery: Alphacution typically looks through a technology lens to see how various players operate around the global financial landscape - and what those findings may foreshadow for other players in neighboring regions of the ecosystem. Often labeled "technical leverage," we are quantifying - wherever possible - the impacts of technology in and around the trading and investment management arena. In practice, [...]

By |2020-10-14T21:49:37-04:00January 10th, 2019|For Subscribers|

Virtu Financial: More Acquisitions on the Way, If…

When we launched our first trading program at Quantlab in the late 90's, we didn't have direct market access yet. We generated an order list (overnight) that was worked throughout the subsequent market session at the discretion of an algo-equipped executing broker; some of whom now roam the halls at Jefferies / Leucadia. This was the era when 1- to 3-day portfolio turnover was considered fast - SOES bandits were still a thing - and Schwab would soon acquire electronic trading pioneer, CyBerCorp, from Philip Berber - a short drive down the road from our Houston headquarters in Austin, TX. Of course, everyone had nicknames then - as I suspect they still do now. Ed Bosarge, founder of what eventually became Quantlab (after at least 3 prior related incarnations that began for me around 1996), was known as Dr. Evil. Let's just say it's a hair-raising story about a swashbuckling pioneer of applied math involving a hideous toupee... I was known as Mr. Bigglesworth - or, "Bigsy" for short. No [...]

By |2020-10-05T21:19:11-04:00March 27th, 2018|Open|

@VirtuFinancial: Valor #HFT Morghulis

If you read Part 1 to this post (from December 15, 2016) then you know that at least as of the end of 2015, financial reports from HFT bellwether Virtu Financial illustrated strong and even increasing profitability. Our surprise from these impressive figures came from the countervailing hypothesis that HFT was already well past its prime (given the evidence of prop shop closings and consolidations over the past 5 years or so). Apparently, Virtu didn’t get that memo. However, upon closer inspection of the most recent quarterly reports – which as of now yields details over 11 quarters starting in calendar Q1 2014 (March) and ending in calendar Q3 2016 (September) – even this bellwether may have seen its best days. Exhibit 1 (below) is one perspective of what this recent turn of fortune looks like: Some translation: After spiking in Q4-2014 and peaking in Q1-2015 at an annualized (adjusted net trading) revenue per employee (RPE) of over $4.1 million, trading revenue as of the end of Q3-2016 has returned to somewhat less [...]

By |2020-08-17T07:14:09-04:00January 12th, 2017|For Subscribers|