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When you say "Quant Traders", what exactly do you mean here? When I hear 'Quant' I think Ph.D and/or MFE. Is this what you mean?

I tried it once and it just started lagging, and had bad data. I haven't touched it since.

Coronavirus could be a permanent drag on the Asian growth story. There could be some fallout from that. HSBC just announced plans for 35,000 job cuts....profits off 33%. Things could get bad. I read it somewhere......this is the first crisis that the CCP can't silence, imprison, or paper...

Apparently, https://spotgamma.com is offering a service centered around this idea. According to them: "Large banks operate similar models (to estimate dealer gamma)" This is an example of such modeling purportedly produced by Morgan Stanley/JPM...

I like the comments. Good to see intelligent people talking about this. I agree with you about the HFT index arb guys (colo, microwave). In fact, I don't even watch the futures vs ETF spread. My statement about the implied funding applies to the BD guys. Also, please note that for what I do...

Hi Kevin. I don't ever really work with the raw premium unless I am comparing a smoothed or detrended process against it. I need to measure the instantaneous movement in the basis against movements in other instruments. This is the reason I work with differentials of the basis, and often use...

There is a quant finance formulation of the basis (yours is wrong). If you can't read that then you really should learn how to. There is also a CME link to educational sources for the basis. Institutional options market makers are hedging with futures (among other things). If you think I am...

This is dealer gamma. The basis is the difference between the futures and the cash market. I use it to track futures trading, but now I believe that most of that is actually OMM hedging their deltas. The difference is called the equity index basis. Index Arbitrage occurs frequently, HFT...

This is what I'm saying. Read this statement (from the OP). "Market Impact...option market-makers will hedge their positions in a fashion that stifles volatility (buying into lows, selling into highs)" and then look at this chart Friday Feb 14 2020. The white data series is derived from...

This idea is what the majority of professionals do. Professionals measure risk using volatility estimates of instruments, and the estimated maximum adverse move against a position. By spreading related contracts, instruments that have (ideally) a statistical AND fundamental relation, you are...

It's not spoofing Overnight. I'm talking about actual trading in the futures. These are completed trades here man. Actually, significant volumes of trading. Spoofing is more of a hindrance for algorithmic traders that are using order flow. It's not even related. I am referring to movement in...

I'm a market structure guy. I focus on rates, indexes and spreads. I don't trade single names, and I don't even really trade vol instruments. But, as the indexes rally higher and higher, vol trading is growing a lot. It is changing how these markets trade. This thread is about how this is...

It's higher level math and quant finance stuff, but here goes. Here's a financial model of basis pricing. I have a theory that the HFT market makers in the index basis imply a funding rate competitively. Furthermore, this rate is affected by rates trading, and, in particular, OTC Swaps...

Looking to start a conversation about institutional options market making. Here's a video that references this topic. I do a lot of analysis and modeling of the index futures basis. My research indicates that "dealer gamma" is very real, and it is a factor for the models/tools I use to...

Hate to say it, but Bernie is clueless about Wall Street. This is a policy that is intended to be identifiable by populists as a sort of "make them pay" thing. It's designed to be understandable by the uninformed and unintelligent. This is because the masses are complete idiots and don't...

I do this, but use the second charts for different things. You can get second charts in TWS. I use DDE EXCEL API for TWS and make sec charts in Excel as well (took a while to develop). You can use ThinkorSwim tick charts. A 1 tick chart is like a sec chart (faster even).

The obvious answer is to use ultra bond contracts as a cross hedge to control your risk. This can also be done to protect a position, and improve your entry price (cost basis). This is also known as "working an average price" or even "jobbing" a position. So you have a stop price rule, OK...

This would seem like the logical conclusion. You can pump and pump for only so long before some kind of limit is reached. Can the FED really just "tame" the business cycle, "set" the price of financing, and paper over any and all adverse market reactions from property to equities to fixed...

1) HFT reduces the cost basis for the prime brokers trading operations (they love it). 2) HFT does have an informational advantage (relative to other participants). 3) People who don't understand market structure will not do well. HFT is structural. 4) HFT is based on speed, but they use speed...

Yea, I'm just trying to inject some reality into the discussion. A smart day trader would look at the overnight and premarket selloff and most likely get short at the open to try to take advantage of the move. (cash selling AKA fundamental selling is likely after a down move). Then they're...