0DTE SWAG, Part II: Retail Share of Index Option Volume
Alphacution improves its estimate for retail traders' share of US equity index option volume...
0DTE SWAG: Retail Share of Index Options
Alphacution found a few grains of new data and used them to estimate the retail share of US equity index volume...
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…
Guest Post: More on Year-End SPX Option Impacts
Guest Post: Derivatives specialist, Don Dale, adds his final thoughts to potential year-end market impacts caused by the mechanics of one of the most successful option overlay products in the market today; the $15 billion JP Morgan Hedged Equity Fund...
Alphacution Publishes “The Chicago Trading Company” Case Study
In this 71-page, 69-exhibit chart book, “The Chicago Trading Company,” Alphacution continues its focus on the explosion of activity in US option markets with a deep dive into another leading option trading firm, CTC, LLC. In this report, Alphacution leverages evolving modeling capabilities to explore its first example of a proprietary trading firm with core concentration in index options along with the peripheral suite of cash, futures and other option products used to capture volatility arbitrage opportunities. Furthermore, this research sets the stage to potentially identify (and rank) other large index option players with similar strategies where the regulatory data is not specifically disclosing exposures to index options. The complete chart book is available to premium subscribers or via individual document purchase.
