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I know what you are doing :) Make sure you have the half-days too. IIRC, quantopian has a market calendar class from which you can dump the dates and open/close times.

It does not really work this way, for what it's worth. You first want to pick the market and then build a market making algo based on the properties of that market. There are large details that matter (like is the order book pro-rata or fifo?) and small details that matter (are there clear...

Partially, but mostly it was due to him misjudging the liquidity of the "safe" tranches when the shit hit's the fan.

Not really. It was a two-leg trade that actually was intended to be a hedge for the firm in case of a credit crisis (which makes it hilarious, of course).

It's possible to back the size out from the estimated market impact (using a square root model or something more sophisticated). Besides some fringe cases like barrier touches, I can't see why anyone would want to do that, though, as it's a guaranteed way to lose money.

Well, do even you know what Hubler's trade was all about?

How are you sizing it, based on the expected return or based on liquidity?

The idea is to find pairs where you have a view on relative performance of the two assets in the pair that's conditional on the direction of the whole basket. Let's say you think if there is going to a recession, stock A (which provides essential services) will fall less then the stock B...

That's not really true, if you dig deeper. Let's say top 50 stocks in SPX are correlated by around 40%, which means there will be a fair number of times when the stock and the market will go in the opposite direction. PS. If you really feel like you have good call on single names, you can trade...

It's not really that simple. Everyone is a "noob" in some sense - e.g. my futures trades are far less sophisticated that that of UHF players and probably from their perspective they "take money from the noobs" when trading with me. In part it's a matter of investment (technology, education etc)...

I primarily think it terms of relative value (though I tend to have a longer vol bias). So if there are a lot of sellers of a particular type of risk (e.g. cheapening gamma or skew) it might create opportunities for me. If you don't have juicy vig (coms/spread) coming in to pay for your theta...

Not saying that every option seller (retail or otherwise) is a loser or anything. It's the truth - less-sophisticated one-way flow like that is good for the sophisticated players, it creates opportunities that can be exploited. That sophistication can be in terms of time frames, cross-asset...

By implication, that would mean that buying ATM SPY options is a horrible risk-reward trade. Yet despite all these things, options are not pricing at zero (so you can sell them, right?). Either every option buyer on the other side of the wire is an idiot or maybe there is something about your...

Actually, a lot of one-way flow like this is a good thing. We need liquidity anyway we can find it :)

There we go! Maybe this one gonna be the first in the chain of autocall blowups, with Asian vol all over the place and other festivities.

Because the color is that someone (real money, by the looks of it) sold puts in size. The fact that a dealer bought them is far less interesting.

Columbia did too. Well, more like NY State that has eminent domain powers - they declared the land Columbia sought to purchase "Blighted" (which is usually done prior to seizing assets via ED). Next thing you know, majority of landowners in Columbia's target area have reached an agreement with...

Well, you can't know for sure. However, (a) you can see if there was open interest on that strike so you can tell if this was a trade to open (i.e. a new position) (b) can see which other positions were open around the same time, so you can see if this was a spread of some sort (c) usually...

I do know it traded live and that it traded not through a large dealer.

Unlikely. It traded live. And it was not GS :P Well, considering that was the only large trade to open at the time, you can guess