Advanced/Professional volatility trading

[sle]

Quote from quatron:

I have difficulty in defining what near free is for a retail trader. Every trader is different. How would you price it?

Well, the easiest way to price it "value-added" would be to charge a license fee for every execution, maybe with some cap. If you make it compatible with multiple brokers, bla bla bla... profit will ensue

 

[Rationalize]

Quote from quatron:

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.

RMS would be worse

At least with excel, the desk maintains control without having to kowtow to some tech czar's arbitrary release schedule.

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

Some do Oz from HK, unfortunately.

So, what are Tibra & friends up to? Have heard IMC's been shrinking. (Not enough profit ensuing.)

 

[quatron]

Quote from Rationalize:


At least with excel, the desk maintains control without having to kowtow to some tech czar's arbitrary release schedule.

I doubt so, the same guys do programming for Excel usually. A rare trader is able to put together such a complex spreadsheet on his own.

Quote from Rationalize:

So, what are Tibra & friends up to? Have heard IMC's been shrinking. (Not enough profit ensuing.)

Yep, profits are falling. IMC closed down their HK office. Tibra's profits are going down as well, heard it's their second year with almost no bonuses.

 

[Rationalize]

Quote from quatron:

I doubt so, the same guys do programming for Excel usually. A rare trader is able to put together such a complex spreadsheet on his own.

True that.

Yep, profits are falling. IMC closed down their HK office. Tibra's profits are going down as well, heard it's their second year with almost no bonuses.

Second year, ha, on low low bases too. And they wonder why they can't retain ppl.

Tough times out at Bondi Jnctn, and then there's that court case

 

[quatron]

Quote from Rationalize:


Tough times out at Bondi Jnctn, and then there's that court case

Sounds like you're in Oz

 

[Rationalize]

Quote from quatron:

Sounds like you're in Oz

Yeah, but staying clear of those funny prop shops near the old colo.

Your comment "Doing some MM stuff only to collect rebates to fund index arb." confused me. Makes sense in HK wrt tax, but here? Dunno what that's about.

 

[sle]

Quote from Rationalize:

Tough times out at Bondi Jnctn, and then there's that court case

I think though times is the new normal for the industry. From what I hear, bonuses are going to be slightly down to flat across the sell-side and in the places where they are bumping people up slightly, it's because last year they cut them massively.

Anyway, talking of advanced/professional volatility trading, one thing that I am surprised about is how lousy the historical analysis services/packages are. Even Livevol data leaves a lot to be desired, especially considering the cost and other services are just as crappy. One would imagine that someone could have spent some time cleaning and parameterizing the data and sticking it into so some smart database framework with a real programming language attached - once that's done you can keep renting this to hedge funds and prop shops.

 

[Rationalize]

Quote from sle:

I think though times is the new normal for the industry. From what I hear, bonuses are going to be slightly down to flat across the sell-side and in the places where they are bumping people up slightly, it's because last year they cut them massively.

Anyway, talking of advanced/professional volatility trading, one thing that I am surprised about is how lousy the historical analysis services/packages are. Even Livevol data leaves a lot to be desired, especially considering the cost and other services are just as crappy. One would imagine that someone could have spent some time cleaning and parameterizing the data and sticking it into so some smart database framework with a real programming language attached - once that's done you can keep renting this to hedge funds and prop shops.

I think that lack of accessible data may be part of your edge

Edit: The guys out at Bondi Jnctn might be a special case. There's an ongoing battle between a group of traders and their ex-firm. Some ugly attitudes and animosity. Even their broker code is an insult to the old place. Do or die fight on in the courts currently. Intellectual property case. Stole code etc. Emails written in disappearing ink etc.. small bonuses for different reasons.

 

[quatron]

Quote from Rationalize:

Your comment "Doing some MM stuff only to collect rebates to fund index arb." confused me. Makes sense in HK wrt tax, but here? Dunno what that's about.

It's about rebates on exchange fees, nothing to do with tax. ASX charges less if you are a MM.

 

[Martinghoul]

Quote from sle:

Anyway, talking of advanced/professional volatility trading, one thing that I am surprised about is how lousy the historical analysis services/packages are. Even Livevol data leaves a lot to be desired, especially considering the cost and other services are just as crappy. One would imagine that someone could have spent some time cleaning and parameterizing the data and sticking it into so some smart database framework with a real programming language attached - once that's done you can keep renting this to hedge funds and prop shops.

Nothing to do with options, per se, but this is actually a shocking truth across markets. For a massive oligopolistic industry characterized by fat margins and large IT spending, the general state of the infrastructure is piss poor, IMHO.