Advanced/Professional volatility trading

[FSU]

Quote from 1245:

I know of two option dark pools. Instinet and Knight. You can get access to the Knight option dark pool though Option City even as customer or pro customer.

1245

I am a bit confused when you talk about option "dark pools," since options must trade on a listed exchange.

 

[quatron]

Quote from FSU:

I am a bit confused when you talk about option "dark pools," since options must trade on a listed exchange.

Both sides of a trade are done on exchange by a broker.

 

[1245]

Quote from FSU:

I am a bit confused when you talk about option "dark pools," since options must trade on a listed exchange.

They are able to cross the trade electronically on a few different exchanges. There is the possibility of being broken up on part of the trade.

1245

 

[Rationalize]

Quote from sle:

... making markets for a large IB and our platform was a variation on Murex. So, yeah, you can and people do. I would even venture as far as to say that internal platforms at most places are actually worse then these commercial products...

+1

Entirely agreed from an IB point of view.

A never ending "one size fits all" internal platform battle, forcing as many regions as possible onto the same poor fit global non-solution.

The opportunity cost is a travesty.

 

[Rationalize]

Quote from quatron:

...Most successful PMMs I know started with some commercial product like Orc and then built their own. ... I'm talking about IMC/Optiver/Tibra/Liquid etc. Your statement contradicts itself - if their systems are worse than popular commercial ones then how come they can compete and take large market share?

There's a big difference between ibanks and prop market makers, especially in asia.

 

[Rationalize]

Quote from cdcaveman:

i actually did some exploration into this... freaking bam looked at a few of the places mentioned and realized how fucking valuable it is to know how to code such things.. this why quant programmers are getting the fucking big bucks..

I think you'll find the hairiest knuckle dragging sales trader still out earns the best quant programmers, even in a bad year.

 

[quatron]

Quote from Rationalize:

There's a big difference between ibanks and prop market makers, especially in asia.

Sure, most of them can't be bothered about PMM role. Doing some MM stuff only to collect rebates to fund index arb.

What's the difference in your view?

 

[Rationalize]

Quote from quatron:

Sure, most of them can't be bothered about PMM role. Doing some MM stuff only to collect rebates to fund index arb.

What's the difference in your view?

Most of the ibanks couldn't fulfill their PMM obligations without being arb'd to zero by prop firms with better technology.

Banks MM for market share, to facilitate customer flow, to build a relationship with an issuer, or to bid their own warrants.

It's not the primary business.

How do you see it from the prop shop perspective?

Quote from quatron:
.. Doing some MM stuff only to collect rebates to fund index arb.
[/B]

Sounds like you're in HK

 

[sle]

Quote from quatron:
Both sides of a trade are done on exchange by a broker.

Any IBD can cross an option between customer and post to the exchange (as long as it's within NBBO), most large guys internalize option flow. Is there something different about Knight?

Actually, maybe there is. Let me check it out, I know someone who has a reasonable clue.

 

[quatron]

Quote from Rationalize:

Most of the ibanks couldn't fulfill their PMM obligations without being arb'd to zero by prop firms with better technology.

Banks MM for market share, to facilitate customer flow, to build a relationship with an issuer, or to bid their own warrants.

It's not the primary business.

How do you see it from the prop shop perspective?

Exactly the same. When I learned how one of the biggest european banks update its quotes I was a bit shocked. They fit vol curve in Excel and send vol per strike to Orc. No wonder they would be arbed if they quoted tighter.

Quote from Rationalize:


Sounds like you're in HK

I'm in Oz. But most prop shops and ibanks trade HK from Oz.