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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 @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
    2. 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
    3. 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
    4. 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
    5. Freak0naut‏ @FREAK0NAUT 6 Feb 2021
      Replying to @mpp75214 @macrocephalopod and

      /es ispic.twitter.com/XweC0uiyLq

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

      ea futures way more liquid when stock market open than not

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

      Even when the market is open, all the price discovery happens in futures. SPY is a sideshow. Don’t get me started on the constituents.

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

      when market is open there is no difference between spy and futures... you can’t be saying that all the price discovery happens overnight!

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

      I’m saying the the futures lead the etf intraday (at HFT timescales) because they are the more liquid market.

      2 replies 0 retweets 0 likes
      macrocephalopod‏ @macrocephalopod 6 Feb 2021
      Replying to @macrocephalopod @mpp75214 and

      Over the last 100 days SPY averaged $25 billion adv, futures averaged $250 billion.

      5:00 PM - 6 Feb 2021
      • 1 Like
      • Freak0naut
      2 replies 0 retweets 1 like
        1. Freak0naut‏ @FREAK0NAUT 6 Feb 2021
          Replying to @macrocephalopod @mpp75214 and

          is there no distinction between volume and liquidity? i take liquidity to mean spread width. But of course, I only consider trading in size too small to move the market

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

          omg that is meaningless, you have to measure the liquidity of the underlying stocks. And the point is about liquidity at what time, during market hours or in the middle of the night?

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

          not meaningless, you want to know how large of an order the market can absorb. But a lot of the SPY volume is being trading through NAV creation/redemption anyway no, not on exchange?

          0 replies 0 retweets 0 likes
          3. End of conversation

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