Using SPY option positions to make a case, this Feed post is a status report - of sorts - for Alphacution's development of a model to estimate individual market maker's shares of US equity option volume. At least we have a (mostly completed) list of the candidates...
Group One Trading is not participating in the zero-days to expiry (0DTE) option boom. And yet, Alphacution shows how its data yields a pattern that illustrates certain 0DTE impacts on the broader US option market...
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…
Alphacution showcases a subtle yet important impact of the explosive zero days to expiration (0DTE) phenomenon in US equity option markets...
New disclosure tools from the SEC - like an ESG reporting framework - are useful, but enhancing and enforcing existing disclosure tools are useful, too. Alphacution makes its case based on its roster of option market makers...
In a world of ultra-fierce competition among proprietary traders, it has become increasingly challenging for newer, smaller players to succeed. We have been keeping a close eye on two players who appear to be bucking this trend above the rest. One of them is option market maker, Simplex Trading. In this Feed post, Alphacution showcases the latest 13F reporting to test for signals of Simplex's ongoing success...
"Sometimes it is the people no one imagines anything of who do the things that no one can imagine." - Alan Turing One by one, those willing to stand and make markets in options are - uh - taking a knee. Back in December (2019), Barclays became the latest in a long string of players - big and nots-so-big - to punt their options trading business to a willing buyer before any more value evaporated. So, we thought to take a closer look at what patterns or signals might exist, if any, to detect moves like this. Here's the setup: It turns out that in a Feed post entitled, "Goldman Sachs and the Long Arc of Hull Trading," we have some useful benchmarking to draw from to frame Barclays' ultimate decision. In the chart, below, Alphacution presents total 13F options position counts for parent entity, Goldman Sachs Group, Inc., over the 45-quarter period beginning Q2 2008. Note: The vast majority of these position reside in the broker-dealer entity, Goldman Sachs [...]
"The book of nature is written in the language of mathematics." - Galileo Galilei As we prepare to turn the page on a new year, and consider what we may want to accomplish during that year, derivatives are on the priority list. Why? Options are important for many reasons from risk management to computational rigor and signal generation. And, if you had been paying close enough attention over the course of this year, you might have noticed that each of our case studies have touched, in one way or another, on options. Now, given that Alphacution is committed to its research providing new pictures to ponder, I wanted to drop the following chart on you with little additional commentary for this go 'round - except to say that the plan right now is to dedicate a full case study to the key players in options trading during 2020. Stay tuned... Until next time...
