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This is a basic volatility arbitrage strategy even though you've created your own terms for how you personally trade it. You're just trading and hedging synthetic volatility positions.

LIVE was etb at a lot of brokers last week so you could have boxed Was short CTIC, which came in nicely. I think there could be edge in shorting a lot of these over extended small/micro caps.

LIVE is something to look at. Started the year at 4.06 and closed Friday at 21.18

Not to kick you while you're down but early I brought up some points that you disagreed with. I was arguing that you are in fact synthetically trading volatility. One interesting point is that a lot of commodities, since they are traded overnight, often trade in a tight range and gap overnight...

lol what year is this?

I did okay on RNN actually. I was short 1.56ish hoping to add if it squeezed to 2, but it never did. A lot of the guys I see trade this stuff risk pretty wide stops and hold multiple days. I think when trading these things, you have to think big picture, which often mean shorting on the way up...

Yeah there was tons of ICPT sympathy, a lot of which faded quite a bit.

Hey Daal, do you ever play a lot of these small/micro cap runners that are essentially pump and dumps? It seems like there are a lot of guys who swing them short. Symbols like PLUG RNN CNAT OXBT TNXP VISN

Yeah exactly, the cyan line without the others, so it doesn't shorten the scale of the chart. I agree with you, more orders scalping the smoother the pnl curve will be. It looks like you're getting 4 cents per share which seems pretty good. Probably need to scalp more to get your cps down ;)

Could you post charts of just your pnl/net liquidating value? It would be interesting to be able to see the drawdowns and just the smoothness of the pnl curve. I like the journal, keep posting

Sometimes you see various chatter like the frequent Icahn rumors or really just any news not on Bberg/Reuters. Where do these start and what data feeds can you get these from? What about services like TradeTheNews and Ransquawk? Do they fill in pieces that BB/TR miss?

probably violating the NDA in my opinion

I like the thread but what are your costs. Based on your style you'd only really be able to average 2-3 cps meaning your commissions would have to be razor thin for you to be consistently profitable.

I know you're not primarily an equities trader but I've got a question I'm sure you could help with. I think I have a pretty good grasp on MMing strategies on a lot of the thick liquid names like BAC or MSFT but I don't really understand what kind of signals hfters are looking at when quoting...

How did you trade to accumulate this sample? In terms of numbers, I think you'd be really lucky to make $200k just by tape reading/scalping futures. You could try to automate, that's probably the most reasonable idea.

Just ramp up size and re evaluate when your pnl gets closer to your income. Or is there a reason you can't do that? eg. can't trade during the work day

The idea that short term volatility is greater than long term vol is the thesis behind market making and it sounds like that is the alpha you are trying to capture in your strategy. If I'm understanding your idea, it sounds like you are basically layering bids down and taking profit on each...

So you're saying that there is alpha in scalping a core position? Which basically states that short term volatility is greater than long term volatility. In lamens terms, profits from scalping will outweigh the losses from inventory.

It looks like you're just covering winners and letting losers ride. I don't really see where the alpha is.

Are there any hfts trading strategies that are higher profit per contract, as in getting closer to half a tick? Or are all legitimate edges being ground down to the 0.1 tick range?