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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. Freak0naut‏ @FREAK0NAUT 6 Feb 2021
      Replying to @mpp75214 @macrocephalopod and

      why not just rebalance for the realized /ES delta without worrying about where SPY will open

      1 reply 0 retweets 0 likes
    2. mpp75214‏ @mpp75214 6 Feb 2021
      Replying to @FREAK0NAUT @macrocephalopod and

      because ultimately the delivery obligation is spy... if spy close to close vol is 20 but /es vol measured at 3am every day is 25 then I’ll make more money by hedging at spy close

      2 replies 0 retweets 0 likes
    3. Freak0naut‏ @FREAK0NAUT 6 Feb 2021
      Replying to @mpp75214 @macrocephalopod and

      right but Lily's whole supposition is that they can't hedge in SPY and thus the high NOPE reading.

      1 reply 0 retweets 0 likes
    4. Lily.wav‏ @nope_its_lily 6 Feb 2021
      Replying to @FREAK0NAUT @mpp75214 and

      I have no idea tbqh, that's just an idea I had.

      1 reply 0 retweets 0 likes
    5. Freak0naut‏ @FREAK0NAUT 6 Feb 2021
      Replying to @nope_its_lily @mpp75214 and

      i know, this is a thread of my criticisms. which I was asking @macrocephalopod to confirm or deny. the EOD imbalance supposition just doesn't make sense to me. But.. again... I am an idiot.pic.twitter.com/hhPgicpyov

      1 reply 0 retweets 0 likes
    6. macrocephalopod‏ @macrocephalopod 6 Feb 2021
      Replying to @FREAK0NAUT @nope_its_lily and

      Wait was I supposed to respond to this

      1 reply 0 retweets 0 likes
    7. macrocephalopod‏ @macrocephalopod 6 Feb 2021
      Replying to @macrocephalopod @FREAK0NAUT and

      I didn’t follow the whole thing but I think it’s pretty clear that if you’re making markets in SPY options, you would hedge your delta with ES futs outside market hours.

      3 replies 0 retweets 0 likes
    8. mpp75214‏ @mpp75214 6 Feb 2021
      Replying to @macrocephalopod @FREAK0NAUT and

      has to depend on liquidity though... you wouldn’t hedge if the market were 1% wide right?

      1 reply 0 retweets 0 likes
    9. Freak0naut‏ @FREAK0NAUT 6 Feb 2021
      Replying to @mpp75214 @macrocephalopod and

      /es ispic.twitter.com/XweC0uiyLq

      2 replies 0 retweets 1 like
    10. macrocephalopod‏ @macrocephalopod 6 Feb 2021
      Replying to @FREAK0NAUT @mpp75214 and

      I literally can’t think of a market that is more liquid than EA futures.

      3 replies 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 6 Feb 2021
      Replying to @macrocephalopod @FREAK0NAUT and

      This isn’t a joke. The candidates are... EURUSD spot? TY futures? We are talking about the 3-4 most liquid markets in the world, even outside normal US market hours.

      4:46 PM - 6 Feb 2021
      1 reply 0 retweets 0 likes
        1. New conversation
        1. mpp75214‏ @mpp75214 6 Feb 2021
          Replying to @macrocephalopod @FREAK0NAUT and

          do you think that SPX futures measured at 3am have lower, the same, or higher volatility than spy measured close to close?

          1 reply 0 retweets 0 likes
        2. macrocephalopod‏ @macrocephalopod 6 Feb 2021
          Replying to @mpp75214 @FREAK0NAUT and

          It’s not obviously higher! There are massive distortions around the close (and futures settlement) from market-on-close orders.

          3 replies 0 retweets 0 likes
        3. Show replies

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