Weekly futures on AEX and CAC
It’s going downhill at Euronext. In a press release, the exchange announced to introduce weekly index futures in the fourth quarter of this year. That’s the most silly idea I’ve heard in a while.
In the AEX, there have been weekly options for a long time. A big succes, decent volumes (although most of it at TOM). Market makers usually have to juggle a bit with their delta exposure. Hedging delta’s with monthly futures has a maturity mismatch. These market makers could use weekly futures.
The problem is – they are the only ones. Every sane investor or trader will head for the most liquid future, which is always the front month. Apart from some dividend impact, there’s not much interesting in other maturities.
It’s difficult to get a liquid future market. TOM failed miserably with their AEX future market, and won’t even bother to launch futures on their NL20 index.
Quoting Adam Rose, head of financial derivatives at Euronext:
“This is a good example of how we want to drive growth in our derivatives franchise across Europe by being innovative and responding rapidly to client needs”
True. Euronext is absolutely the first in Europe to launch weekly futures. In reality, there is a reason these things don’t exist anywhere else on the continent. For example, take the most heavily traded index product in Europe, the Eurostoxx. The Eurostoxx futures are quarterly futures – they don’t bother for monthly maturities.
first
same goes for single stock futures, no interest, thank you vm
Single Stock futures on the other hand make sense and do work in certain markets – particularly those with high tax
1. No stamp tax
2. No Stock loan to worry about
3. No down tick rules
4. Leverage
you are welcome to open an exchange for them, clearly those advantages wouldn’t be lost on the punters
Big volumes are crossed in stock futures just before ex-div dates. That’s their raison d’être.
so a replacement to synthetic stock/reverse conversion for dividend washing?
single stock futures also a little bit an interest rate thing. Large stock positions cost money, sometimes easier to have a stock future.
Short stocks is expensive too (short stock fee), so better be short the future. Voila.
Weekly futures are bullshit, though.
Webb Traders fired 20% of their traders.
webb had 5 traders last month, it’s left with 4 now
‘single stock futures also a little bit an interest rate thing. Large stock positions cost money, sometimes easier to have a stock future.
Short stocks is expensive too (short stock fee), so better be short the future. Voila.’
How’s the above different from below –
‘Single Stock futures on the other hand make sense and do work in certain markets – particularly those with high tax
1. No stamp tax
2. No Stock loan to worry about
3. No down tick rules
4. Leverage’
http://www.bloomberg.com/news/2014-07-17/wall-street-techs-take-secrets-to-next-job-at-their-peril.html
does flow have anything which begets stealing?
What happened with getco suing tibra?
both of them are now bankrupt, nobody cares, next
Ummmm…Getco made more than all the Dutch market making firms combined.
Getco is not bankrupt. Read a little, they changed their name to KCG.
how much money did getco make in 2013?
As expected IMC is not probed my SEC because they do proper market making, all the rest will be in trouble:
http://my.chicagotribune.com/#section/-1/article/p2p-80833627/
Those of you who are curious to know why the companies listed above are probed can find the explanation here:
http://en.wikipedia.org/wiki/Flash_Boys
wow, what a surprise, imc is not a high-freq
how did goldman manage to disappear from the most-wanted list
goldman is not high freq, so how can it be in the list?
really, what did Aleynikov used to do over there?
And is merrill ahead of them in the game?
Why weekly futures but no weekly options on the CAC? Surely there would be more interest in options than futures?
the exchange marketing obviously doesn’t understand the difference between weekly future and weekly option, future contract being linear instrument is pretty much independent of time horizon and thus maturity of contracts is of little interest to end user, option contract however is highly dependent on time horizon due to non-linear payoff, each is rather different case when one is punting on 1-day, 1-week, 1-month, 3-month vol of an underlying; you can’t really blame them, this term structure concept is much more intuitive to rates folks and much less to users of spot equity prices
They are only investigating US based companies (affiliates are not the same as offices.) It does not absolve foreign based companies.
isn’t goldman US based?
Yes GS is based in the US, the probe is from tips post March (targeting stocks, not options), GS sold that part of their business.
where is goldman in ranking these days, for US stock trading volumes?
wasn’t this supposed to be IMC vof instead?
http://ch.linkedin.com/pub/paul-wolfrom/a/933/68
Which are the most liquid single stock futures in Europe?
there shouldn’t be any liquidity except for dividend washing?
now that all important people at Source Capital left (with exception of the management), are they hiring again?
yes
if you are > 5 years trading experience
generating > 2 million after cost
confidence interval > 90%
on a payout ratio of < 35%
whats the point of a confidence interval? is anyone going to say in an interview, “I have no confidence”?
what’s the point of pnl target? is anyone going to say in an interview ‘i don’t like making more money’
and what is the point of a confidence interval on such a small and fixed sample (i.e. your number of years in trading) in the first place other than demonstrating you don’t comprehend the meaning thereof?
there isn’t a confidence interval on the number of years in trading, duh?
no, let’s say you made 3m in each of your first 6 years of trading and 1m in the last. what does a 90% confidence interval (for profits exceeding 2m) mean on this rather small set of data?
okay so you are using the ideas from law of large numbers and central limit theorem; yes, those ideas are extremely hard to comprehend, so let’s stick to little bit common-sense; when somebody refers to 90% confidence interval in practical sense, it doesn’t mean you go do historical back-testing and calculate an impressive looking statistic to demonstrate how well the history fits with your expectations, the idea is more with out-of-sample future looking expectation, what’s the probability/likelihood that this guy wouldn’t be able to hit 2mil, 10% okay fine, he is hired
are you usually this pedantic on meaningless points?
generating > 2 million after cost does not say much, what are the costs?
“generating > 2 million after cost does not say much, what are the costs?”
no, AFTER costs dummy. So it actually does say it all, because that’s what we in the business like to call “profit”.
i am usually this pedantic when other pretend that they’ve got a clue when in fact they’re talking bs.
haha, yes, you are welcome to be pedantic at my bs, you are also welcome to correct me anytime you feel like, but till now all you have come up with is some self-involved bloated ego pedantic bs, you got anything more? or can we can move on to something more interesting
two make 2 million after costs of 200k or costs of 5 mil is not the same! So it matters a lot.
well, of course costs matter, that’s why it’s got a qualifying at the end – ‘2 million after cost’
but again, getting back to the pedantic issue, you are getting too literal with the word ‘costs’, in your eg, the margins are around 90% and 30% respectively on rather differing revenue base, yes you can have such differing trading teams in a diversified house, but what’s the point in wasting all this time to discuss such a trivial point, to satisfy your ego?
btw, are you the same pedantic guy with gigantic ego wanting to crush some clueless commentator here coz he’s not worthy of wasting your precious time?
http://www.bloomberg.com/news/2014-07-23/don-t-tell-anybody-about-this-story-on-hft-power-jump-trading.html
so are the costs 2 million? meaning that if you make 4 million you get 35%*(4-2)=700k of guaranteed bonus + base salary?
it’s only ‘guaranteed’ if it says in your legal agreement with the company
do you mean that this needs to be in the employment contract?
no, a gentlemen’s agreement is good enough, you don’t need random details in the employment contract
@8:20pm a “gentlemen’s agreement” would be good enough if you were dealing with gentlemen, but in this business you’re more likely to be dealing with scoundrels. Even if you have it in writing they’ll try to weasel their way out of it.
they wouldn’t weasel out of it if you are making money for them fair and square, nobody is stupid to kill the hen that lays golden eggs
‘a gentlemen’s agreement is good enough’
LoL, that’s a good one, especially referred to source capital. Congratulations for this perfect sarcasm!
a gentlemen’s verbal agreement is good enough to drag you to court for renting a place in Amsterdam
sorry, can you rephrase this pls
‘a gentlemen’s verbal agreement is good enough to drag you to court for renting a place in Amsterdam’
Think he means to say.
make a verbal agreement to rent in Amsterdam. Go back on your word before signing the papers. The landlord can still sue you and drag you to court.
really, how does the court decide in that case, your word against mine, case dismissed for lack of evidence?
The fact of the matter is that by “screwing” you with your bonus, the company is doing you a favor. You may not understand now but hopefully you will later. Making a lot of money at an early age will ruin your character. That is as true for traders as it is for soccer players and other celebrities you read about in the newspaper. Young men would squander it all on women, fast cars, gambling, alcohol and drugs. You should trust management to be wiser with the money they didn’t spoil you with. Such as growing the company that employs you by hiring a bunch of traders who claimed they were screwed with their bonuses when in fact they had lost a lot of money.
chris dowson is a great example
http://en.wikipedia.org/wiki/The_Fox_and_the_Grapes
“Any fool can despise what he can not get”
Can you rephrase this pls –
‘Such as growing the company that employs you by hiring a bunch of traders who claimed they were screwed with their bonuses when in fact they had lost a lot of money’
Having said that, there is definite biological reality to maturing of brains earlier in women and bit later in men, risk taking and money management becomes much better than the 22-24 going age for starting traders, but then again those are primarily trading ‘jobs’, you can train monkeys for doing those, speculation in financial markets has got very little to do with ‘trading jobs’ and ‘market making’, so there is little harm done in employing them and paying them based on performance
what did chris dowson do, apart from speed boat and hammer?
I think the commentator was being overly sarcastic. Haven’t we all experienced some manager who has no clue about trading, thought of himself as underpaid (and the traders overpaid) and basically made one bad call after another. Such as hiring people, so-called traders, who never stood a chance of making any money whatsoever. The kind of folks who during the job interview have these great stories about the millions they once made and will again make, but they’d rather take a high base than a good percentage deal. And how they left their previous employer because they were supposedly screwed when in reality they were simply fired because quite frankly … they sucked. Yet the manager goes ahead, hires these losers, gives them a second, third and fourth chance and – big surprise – it costs a ton of money. At the end of the day the manager always defends his actions with the notion that it was important that the company expands and other useless rhetoric. The next day this process starts all over.
what do you think commentator was being overly sarcastic about?
you sound you are from tibra, moaning and complaining as usual about how management doesn’t understand trading and don’t pay for all your hard to replicate pnl?
if you don’t like what your management does, why don’t you go get a job in a company where you do (you haven’t been able to do that till now because you are only as good as your existing management and nobody any good would want to touch shit from your house?) or better still, start your own company and hire your own management, surely you know what qualities to look for while hiring the traders and hiring the management to manage them for you
IMC trader bonus
[removed ; old news]
is this the old list or a new one?
it’s neither, it’s a piece of guesswork, how close it’s to reality, we’ll never know, the interesting piece would be IMC and Jack’s reaction to this, would IMC be a cry baby like last time and would Jack sell out list of IPs of commentators to save his own butt
anyways, moving back to better use of our time, here’s a balanced view of hft/mm from the cta side
http://video.cnbc.com/gallery/?video=3000295923
There is a tide in the affairs of men
Which, taken at the flood, leads on to fortune
I’m curious to find out what blog system you have been utilizing?
I’m having some small security issues with my latest blog and I’d like to find something more
safeguarded. Do you have any solutions?
sure, email me at jack@amsterdamtrader.com
How do I get a PnL like Allard Jacobs in 2007?
that’s easy, i got a time machine i ain’t using much these days