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

      /es ispic.twitter.com/XweC0uiyLq

      2 replies 0 retweets 1 like
    3. 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
    4. 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
    5. 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
    6. 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
    7. 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
    8. 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

      1 reply 2 retweets 20 likes
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    10. 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
      macrocephalopod‏ @macrocephalopod 7 Feb 2021
      Replying to @macrocephalopod @CautionPesimism and

      The first “is higher” is a typo, it was late at night 😁

      9:05 AM - 7 Feb 2021
      2 replies 0 retweets 0 likes
        1. Lily.wav‏ @nope_its_lily 7 Feb 2021
          Replying to @macrocephalopod @CautionPesimism and

          tl;dr he's saying that right before close rvol spikes due to MOC and dehedging, so if you pick close-to-close to measure rvol you'll get skewed results vs 3pm-3pm for instance.

          0 replies 0 retweets 1 like
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        1. Freak0naut‏ @FREAK0NAUT 7 Feb 2021
          Replying to @macrocephalopod @CautionPesimism and

          Freak0naut Retweeted Freak0naut

          i still have my question,https://twitter.com/FREAK0NAUT/status/1358225335612022791 …

          Freak0naut added,

          Freak0naut @FREAK0NAUT
          Replying to @macrocephalopod @mpp75214 and 2 others
          So back to the main point then. @nope_its_lily @yup_its_lily 's point that EOD NOPE being indicative of dealer hedging imbalance can't possibly be the driver since the hedge using /ES. It must be measuring something else that is indicative. P.S. How is prop fund coming?
          2 replies 0 retweets 0 likes
        2. Lily.wav‏ @nope_its_lily 7 Feb 2021
          Replying to @FREAK0NAUT @macrocephalopod and

          I don't know dude. I don't know most things left to discover on NOPE.

          1 reply 0 retweets 0 likes
        3. Show replies

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