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drewg__'s profile
drew
drew
drew
@drewg__

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drew

@drewg__

electronic trading technologist, illiquid commodity futures enthusiast, hedge fund/HFT apologist, big idiot

NYC
Joined April 2009

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    1. roon‏ @tszzl Oct 19

      i am metaphysically a call option and i will maximize volatility

      13 replies 5 retweets 118 likes
    2. drew‏ @drewg__ Oct 19
      Replying to @tszzl

      drew Retweeted LSF

      Will never pass on a chance to post this lmaohttps://twitter.com/lightspringfox/status/1408122316295311362?t=ghLGKOvXGd4ihnWnY0L8vA&s=19 …

      drew added,

      LSF @lightspringfox
      pic.twitter.com/h96Vk4yoIQ
      1 reply 0 retweets 12 likes
    3. Steven Fan  🐚 🫖 ⛵ 🌻‏ @_StevenFan Oct 19
      Replying to @drewg__ @tszzl

      I will pay someone to walk me thru this meme omg

      1 reply 0 retweets 8 likes
    4. drew‏ @drewg__ Oct 19
      Replying to @_StevenFan @tszzl

      Options market makers have some pretty sick advantages provided by the exchanges that let them be a lot slower than their counterparts in equities

      1 reply 0 retweets 6 likes
    5. drew‏ @drewg__ Oct 19
      Replying to @drewg__ @_StevenFan @tszzl

      also the spreads are thicc, as already noted

      1 reply 0 retweets 5 likes
    6. Steven Fan  🐚 🫖 ⛵ 🌻‏ @_StevenFan Oct 19
      Replying to @drewg__ @tszzl

      O dang So is this pointng towards a physics-modelers Vs taleb style risk-smart, market-smart Culture split too?

      1 reply 0 retweets 3 likes
    7. drew‏ @drewg__ Oct 19
      Replying to @_StevenFan @tszzl

      has more to do with the computational reality of having to constantly price the options chain, there are ~1M listed options but only ~5000 US equities, in an effort to make the business economical for options market makers, exchanges give them tools not available in equities

      1 reply 0 retweets 11 likes
    8. drew‏ @drewg__ Oct 19
      Replying to @drewg__ @_StevenFan @tszzl

      an example of this is purge ports, something unique to options, they're a dedicated connect that skips the regular message queue so that MMs can kill their quotes en masse, no such thing exists in equities. here's a doc for the CBOE purge port for example: https://cdn.cboe.com/resources/features/Cboe_USO_PurgePortsFAQs.pdf …

      1 reply 0 retweets 11 likes
    9. drew‏ @drewg__ Oct 19
      Replying to @drewg__ @_StevenFan @tszzl

      this implies that while an equities MM has to care a ton about making sure their quotes are super up-to-the-microsecond recent so as not to get picked off by an aggressor on-exchange, the options MM can just kill and reprice the whole chain if they think they'll be picked off

      2 replies 0 retweets 10 likes
    10. drew‏ @drewg__ Oct 19
      Replying to @drewg__ @_StevenFan @tszzl

      disclosure, i am not an options MM by profession so perhaps take the above with a grain of salt, i have only seen this from the buyside/"end-user" POV myself

      1 reply 0 retweets 8 likes
      drew‏ @drewg__ Oct 19
      Replying to @drewg__ @_StevenFan @tszzl

      cc @theemilyaccount to factcheck/own me on any mistakes above lol

      5:30 PM - 19 Oct 2021
      • 8 Likes
      • fake geek guy Radagast 🌋 🎱🦑 Nd1(🎄,🎄) emily roon Steven Fan 🐚🫖⛵🌻
      2 replies 0 retweets 8 likes
        1. New conversation
        1. emily‏ @theemilyaccount Oct 19
          Replying to @drewg__ @_StevenFan @tszzl

          kill whole chain expensive. options MM a lot more about exchange pricing from my experience

          3 replies 0 retweets 11 likes
        2. emily‏ @theemilyaccount Oct 19
          Replying to @theemilyaccount @drewg__ and

          options make me uncomfy. nonlinear bad

          2 replies 0 retweets 9 likes
        3. Show replies
        1. NoNutN’Elle’VemberFML420‏ @subspaceforce Oct 19
          Replying to @drewg__ @_StevenFan and

          i love when drew underscore underscore writes lots of words in many tweets in a row and i’m not remotely being a dick. i really do love it.

          0 replies 0 retweets 2 likes
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