Susquehanna Securities and the Hidden Arbitrage Strategy – Part II

In this Feed post, Alphacution updates an analysis of Susquehanna Securities - the primary risk-warehousing affiliate of legendary options powerhouse, Susquehanna International Group (SIG) and the place where the largest piece of SIG's global market making operation resides - originally published in Dec 2020. Now, more than 3 years later, Alphacution adds significant new color to that analysis - including 12 charts - and sets the stage for a much more nuanced understanding of the broader group of option market makers...

By |2024-04-08T20:14:58-04:00April 5th, 2024|Silver / Premium|

The Mania Market And The Emotional Money

For the longest time, the use of technology gradually removed excess costs and other inefficiencies from financial markets. This evolution wasn't just about speed, although that was a key element. And then advanced quantitative trading techniques, social media techniques, and mobile-first technologies converged. This is Alphacution's view on what's happened since and what that means for the road ahead...

By |2024-01-10T21:33:23-05:00January 4th, 2024|For Subscribers|

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|

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|