Chart of the Month: ETF Positions by Market Maker
Product selection is like the DNA of a trading strategy...
Product selection is like the DNA of a trading strategy...
Alphacution expands on the introduction of its Strategy Factor Library with a deeper dive into its method for estimating the potential universe of short stock and short ETF securities as a component of the core trading strategy for a large group of option market makers...
Alphacution goes wider and deeper than ever before - as part of the research for our unexpectedly exhaustive case study on US equity option markets and option market makers - to compare trading entities based on at least 84 strategy factors from the simplest factors - like securities universe or number of positions by product class - to some of the most sophisticated comparisons that Alphacution has ever attempted. In this Feed post, we publish this list - the first version of our Strategy Factor Library - as well as a ranking of 19 option market making entities by our "shorts universe" factor...
Alphacution goes wider and deeper than ever before - as part of the research for our unexpectedly exhaustive case study on US equity option markets and option market makers - to compare trading entities based on at least 84 strategy factors from the simplest factors - like securities universe or number of positions by product class - to some of the most sophisticated comparisons that Alphacution has ever attempted. In this Feed post, we publish this list - the first version of our Strategy Factor Library...
Alphacution begins to present its unique - and visually quantitative - perspective on the extreme level of concentration in the US equity derivatives market...
Alphacution begins to present its unique - and visually quantitative - perspective on the extreme level of concentration in the US equity derivatives market...
Alphacution compares the two largest players in US equity options - SIG affiliate, Susquehanna Securities and Citadel Securities - based on a 10-year period of allocations to single security options (SSOs) and equity index options, including indications of scale variance, key factor preferences, and strategy shifts...
What is the value of trading edge? Using "revenue per employee" as a comparative indicator, Alphacution dives deeper than ever before into Virtu Financial's market making business. The results cause a dramatic re-ranking of Virtu in a list of 10 market makers - plus a few other fascinating findings...
What is the value of trading edge? Using "revenue per employee" as a comparative indicator, Alphacution dives deeper than ever before into Virtu Financial's market making business. The results cause a dramatic re-ranking of Virtu in a list of 10 market makers - plus a few other fascinating findings...
In the conclusion to Parts I, II, and III of this series, Alphacution assembles its findings in terms of total retail equity order flow 'acquisition costs'; some insights into the wholesaler strategy behind why they pay these costs; and a simplified recommendation to the SEC...