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Futures pays no interest, but (adjusted for the cost of financing) produces the same total return as the underlying security.

Go work for an HFT firm. If your C++ is good, you will be minting very soon and learning stuff in the meantime. Give it a few years and you'll be able to go to another firm as your own man, with a nice profit split.

That still works, just gotten way harder and requires good technology

Americans are paying more for healthcare by a few times, compared to the other developed countries. Yet the quality of medical care in the US, as evidenced by a variety of statistics, is on par or even inferior to the care people get in those countries. So in reality, we are paying a rather...

There is an argument and most people engaging in the risk parity are kinda expressing it through their portfolios for a reduction in term premia in it's classic form. The idea is that govies actually have favorable risk properties, i.e. actually serve as insurance against recessions so you...

He does get lower commissions, thats an indisputable fact. He might or might not increase his total cost of trading. FWIW, I've only heard of one retail broker that explicitly does not get involved in PFOF and that's IB. In fact, that's there current selling pitch "IB does not sell its order...

This is from like 3 years ago, no?

With regards to the bond basis, here is how it works in a nutshell. Bond futures are physically settled at expiration (roughly). That means that when you are short a bond futures, you are required to deliver a bond at expiration. The deliverable bond is selected from a basket of the eligible...

I am not sure that's how it works. Are all RH orders not-held? That would be possible but surprising given the regulatory scrutiny. It is even more unlikely to be 1-30 seconds since Rule 661 requires execution at NBBO or better within a second, IIRC. This is what a PFOF model looks like as far...

You do realize that the stock will drop by the dividend amount, so in order to retain your status quo you still need to be guessing the right direction?

The two are strongly related, so a complete explanation should include both. It's an hour-long discussion, though and probably not interesting to anyone who's not planning to structure relative value trades. For a quick chat, nothing prevents you from saying "the terms structure of implied...

It's tricky even in a professional setting, even if you have some form of TCA. For example, if you are only measuring the actual cost of trading (something like EV at some time decaying horizon), you might be missing the opportunity cost and thus underestimating the negative selection. If you...

Well, they disclose it on their 106 so it's public secret. To make this issue even more complex, every other retail broker sells your order flow too (if you use their default execution venue) and does not give you anything for free, so you get screwed on both ends. If your order is sold to any...

You are taking a tax hit, so you are losing every time you rebalance, no? I.e. if you get a div, first you pay regular income tax on it and only then re-invest. On the other hand, if you sell a stock after holding it for a while, it's taxed as capital gains, so you get better reinvestment...

That's been around for a while, though the value of this data is overblown (same with counting trucks for shipping). It's a tricky dataset to work with since you have to have data in relatively high temporal resolution and have intelligent process for dealing with various artifacts. So in real...

Dude, if you don't understand the basics of the modern market you are not really in position to act like a guru. E.g. knowing what HFT market makers do and how they make their money (as per other thread) is required knowledge, markets 101. So forgive me if I doubt that you have been successful...

Just FYI, most people call "horizontal skew" as "volatility term structure". I can't recall anyone calling it "skew" since the late 90s.

Imagine that you'd risk 10 cents for every trade and have 10 losing trades in a row. Would it be a psychological problem? You probably mean $128k - first quarter you are risking your initially planned $1k, so it's 2^(8-1). In real life, of course, it's not gonna happen. First, you not going to...

That's because equity HFTs are not market makers in the old sense of that word. Anyone with the right technology can play this game, there is no regulatory obligation of "ensuring fair and orderly market" like in the old times. For example, I make markets in several securities where I have the...

It's becoming a winner take-all game, as virtu does OMM now too and is rapidly gaining market share. Short-term OMM now works within a paradigm that's very similar to stock MM (e.g. most of the OMM money is now made on delta, not spreading vol).