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Interesting, Don, tell me more. So Goldman gives clients access to its internal ECN book? I agree that there is more liquidity routing to NYSE. The pseudorandom order flow is still there however, you just cannot see it (lack of transparency). That all changes with real-time OpenBook...

That algorithm works fine when prices are mean reverting. Suppose that you back off the bid, but the bid gets taken. You back off again, the bid gets taken again, and your offer does not. What do you do with the risk? You can lay it off on a correlated instrument, lay it off on a derivative...

The theory of market making and the practice of market making diverge pretty quickly. In a single illiquid instrument with a monopolistic market maker, you can think about the return as a function of the bid-ask spread. The reality of modern market making is that the spread is a function of...

Where did you just come from? 1993? Were you in Mexico? I hope the weather was nice. It looks like you are a little late on the whole "electronic vs floor" discussion. While you were away, the NYSE merged with ARCA, the floor of the Pacific Exchange in San Francisco became a health club...

At the macro level, the NYSE specialist faces the same set of risks as any other market making agent. I disagree in general that the NYSE can be "read" more readily than any other exchange. Then again, I disagree in general that modern markets can be "read" by human beings without automated...

To keep it focused, I will restrict this discussion to equity market making. The equity market making landscape has changed drastically in the last few years. Decimilization, lack of liquidity, ECNs, and the rise of algorithmic trading have eliminated most traditional market making positions...

For 99.9% percent of people on this board, there is absolutely no real world difference. Either processor is more than overkill for most applications, as most come nowhere close to reaching boundary conditions on these processors. I will grant you the %0.1 exception, say for a production...

Many funds have in-house proprietary databases and analytics. It is very hard to get the flexibility in off-the-shelf solutions. For the flexible platforms, the cost of acquisition approaches the cost of development, so one must do the requisite trade-off analysis to determine the best...

Are you seriously considering this? Paying $36,000 for "professional trader classes" is a total waste of time and money. You would have to be a ten-pound-watermellon-headed-moron to spend that kind of money on "trader classes". For that amount of money, you can have a real education from an...

Speaking hypothetically, by writing covered calls you are synthetically short a put. Why not sell the stock and sell the ATM put naked, or sell OTM bull put verticals until you think GOOG is going up? Alternatively, if you do not want to realize the loss in GOOG one might buy ATM or slightly...

You are welcome, but do not thank me, thank FDAXHunter. I do agree about the quality. If only everything could be written so succinctly. :) -segv PS: Baaaaaaaaaaaaaaaaaaaa

You almost invented a well known strategy called dispersion. Google for "dispersion trading" or "volatility trading". You will find that the formulas have already been worked out for you. In a nutshell, dispersion leaves you long or short the correlation. It is not for the fainthearted or...

A hitman to do your dirty work, eh? Thats always nice. I am a one man show with a software engineering background, so I get to use the shovel. Sometimes, I get to drink from the firehose as well. -segv

If you know Java, I might have something for you. -segv

Are you trading with IB? -segv

What do you think about shorting ONXX vols around here? It is at 260% of SV and near historical IV highs. The pump seems attributed to the forthcoming American Society of Clinical Oncology meeting June 2 - 6. IV is not likely to dump until after the conference. Relatively safe +theta until...

I hope you are being sarcastic about there being no housing bubble. How does a 924sqft 2 bedroom built in 1924 with $80,000 in termite damage for $680,000 sound? Thats for sale on my street. -segv

The strategy can be profitable when IV(t+0) < IV(t+n) or SV(t+n) > IV(t+0), correct? So, historically IV(t+0) > SV(t+n) and IV(t+0) =~ IV(t+n) in equity index options generally. That seems uh, bad, yes? Assuming fair pricing, I do not think I see where the edge is in the position you...

Historically, index implieds have traded at a premium to realized volatilities. There is an argument that says this premium is driven fundamentally by the lack of natural supply for these products. There are other arguments that say the historical bias is no longer applicable due to various...

Thanks arb. You are ever helpful. :)