It’s amazing to watch other quants swear by the data when the market begins its process of pricing it out. This is where the discretion of being a solid experienced trader steps in as the pure quant folds up. It’s happened for years and will continue to happen. It’s a market !
Don’t worry will continue to critique your ideas no matter how famous you get
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yeah clearly MM's must hedge SPY options book using /ES or at least continue to hedge after hours so EOD Nope cannot be indicative of dealer hedging imbalance.... amirite? no..seriously...what do you do? am i right?
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there has to be some point where liquidity is poor enough that prices are not a good trading signal... so say nothing of slippage costs in this environment
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