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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. 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.

      1 reply 0 retweets 0 likes
    8. 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
    9. 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
    10. mpp75214‏ @mpp75214 6 Feb 2021
      Replying to @macrocephalopod @FREAK0NAUT and

      anecdotally seems higher, but I haven’t done the analysis. my whole point is that it depends on liquidity for two reasons. 1. Could be hard to execute without slippage if liquidity is poor. 2. the trading signal is unreliable if there is noisy relationship between futs and spy

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

      I am a nerd so I just did the analysis (2013-2020). SPX volatility is higher from close to close is higher than literally any other 24 hour period you could choose. As I said, massive price distortions around the close from market-on-close orders.pic.twitter.com/KpXgV8Fu0K

      5:15 PM - 6 Feb 2021
      • 2 Retweets
      • 20 Likes
      • SwissQuant 🇨🇭🇪🇺 🇩🇪 🇺🇦 Idzi I s r a e l  🧠 David Montgomery ❄️ Ginger Retriever fdd Valkas Hedge Fund
      1 reply 2 retweets 20 likes
        1. macrocephalopod‏ @macrocephalopod 7 Feb 2021
          Replying to @macrocephalopod @nope_its_lily and

          @nope_its_lily there is a ton of interesting stuff to say here, hopefully I will work myself up to doing a thread 😁

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

          Yes eg 3pm to 3pm, 2.30pm to 2.30pm etc

          1 reply 0 retweets 0 likes
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