Zerohedge posted the article https://www.zerohedge. com/markets/someone-big-was-utterly-blown-fk-out-heres-reason-behind-todays-unprecedented-vix-move
I've heard people speculating that this is CTC or Belvedere. I've also heard SocGen and Nomura. Anyone have any idea?
Also curious. By the way that article also implies Consolidated is done - is that true?
Consolidated has been trending downwards for a long time. Their strategy of only selling options was bound to blow up in their face soon. It doesn't surprise me that this most recent volatility spike is what sent them under.
I heard of consolidated traders interviewing with other companies so I would assume that this is accurate.
Well I assume they aren't out right short vol. These are most likely spreaded across the skew curve or term structure? So does IV spike really matter?
Have also heard rumors that it is CTC. Maybe their short vol blew up? They've had vol arb for a while now.
Heard ctc good. Optiver beard has some issues.
Honestly any firm probably has rumors right now.
I’d speculate on oil hedge funds but I’m not sure there were any left anyway.
Rumors going to be wild.
I wonder how these energy PMs at shops like Millennium/Citadel/etc are playing this...
I've heard rumors the Optiver Fixed Income desk got blown out. Heard CTC suffered huge losses as well.
Quote this, heard the same
Not familiar with VIX related products but is Consolidated typically short vol/gamma bias? Do they not get run over during shocks? Unless they're gamma hedging correctly and going "break even" because of their theta collection and making money on their short vega risk?
firm is market maker hence premium collector as well as premium payer for hedging purposes... hence being short gamma as quite natural condition under these market environments (eg you sell more put) to offset this you constantly need to hedge, but if you end up in a 'gamma trap' being too gamma short/long you can easily explode
Do these guys try to flatten their book EOD? I can't imagine having a huge short gamma exposure and heading back home. Unless they have resting orders out there sitting at the break even points to either gamma hedge in intervals? I spoke to my rates vol trader last week, he told me typically when the market moves 3 bps, he gamma hedges.
Probably some extra dead corpses on the street after today...
Jesus Christ.
Rip phizzurp
I work at Optiver - they had a record week actually. Fixed income was decent. The UST market has basically died - zero liquidity and multiple market makers blown out (consolidated, CTC, Maven) - but Optiver spread their UST positions vs other underlyings (Bund, Eurodollar, S&P) which proved extremely profitable.
What was the trade? Did you guys spread to hedge your core your positions or was it to trade relative value or maybe both?
Surprising, I didn't think UST was a big part of Maven's book as their predominantly Europe and actually heard Maven's been doing really well. Congrats on the huge week at Optiver. Do you have any insight on Akuna?
Also, volumes going to dry up pretty hard, do you think the higher vol will compensate for that?
Akuna's killing it in PNL. Won't say how it breaks down between market making vs strategies. For the options market makers that survive, it's gonna be a 10x+ year like 08
Any insight into how Maven finished the year?
Ouch didn't know about Maven!
When I say blown out, I mean they've stopped trading fixed income, at least for now. CTC and Maven are still trading other products but not fixed income, they were forced to hack out of their UST positions and are currently not present there. The next few weeks will be extremely profitable to all option MMs still present. With regards to lower volumes - the current situation is very different to 2008 and I don't think another 2009 will follow (a terrible low volume year for MMs)
Rumors floating around about Bridgewater. Hopefully it stays rumors.
We can see news articles already. Looks like it's not rumors.
No. The rumors are worse than what's hit the headlines.
I have friends at Millenium who just got laid off. I hear trading desks are closing down and having to hack out of positions. It's not the market downturn that's primarily killing the firm, it's more correlations breaking down between seemingly correlated products that have destroyed many of their strategies.
BBG article earlier said they closed 10 pods
I apologize for my ignorance, but can someone explain what supposedly went down here? I’m not very familiar with this stuff but it sounds really interesting haha.
Thanks!
Coronavirus is destroying the market. SP500 and Dow (main market indicator) is down over 30%. WTI Crude (oil) went from over $60 to $20 a barrel as a result of Saudi Arabia and Russia overproducing due to coronavirus. Gold and Silver has been getting liquidated and is falling as well after hitting all time highs at the start of the panic. US treasuries especially ZB (bond futures) have gone crazy with liquidity completely drying up and rates getting cut to 0. As a result, firms can't get out of positions they put themselves in and any primarily long fund has gotten destroyed as a result of the market crashing.
Anybody knows how two sigma is doing? They've been really quiet, even before this blow up. Couldn't get numbers for last year on them either.
Can't post link as I'm a new user, but pics and vids show Flowtraders Amsterdam staff sleeping in the office to capitalize on this market environment. Stock trading at ~25 EUR vs. ~22 EUR mid last week.
Hearing ronin has blown out.
Also citadel buying them.
Basis trades and something I don’t know what it is called vix-risks parity trade or something.
Not too bad then? Probably need cash injection and so no need to unwind positions. Will probably come back. Sounds like most traders will land on their feet.
Citadel I hear have done well.
I wonder what the news is on Citadel Securities (their market making arm). I know in Europe they had been building out quite a few desks since last year. Not heard a peep on them in US or UK under recent market volatility...
their quant fund or securities? I don't think their quant fund would be performing well in current conditions. Market making should be making money hand over fist.
Yes I’ve heard ridiculous numbers from their market making. Billions a week. Ken griffin figure out how to get everyone using quant methods. Then when a crisis they all blow up at once and the market making arm you have no investors in prints absorb money.
Ronin Capital blew up. My, oh my and possibly gone, gone.
Heard it was their BD.
BD?
Anyone know how CTC is doing? I have an internship lined up there and although they should be fine since they're a market maker, the rumors scare me.
Last I heard, they took a heavy loss. Just an FYI, just cause they're market makers doesn't make it risk free lol. I'm sure if circumstances have changed, they would have reached out to you . Market making is a risky business and can still shutter. Listen, get used to this. If you want stability, this business isn't for you. Learn what you can and perform for them. The “good” traders are aggressive, resilient and unfortunately, impatient... something you're going to have to pick up or get used to.
adding to mswoonc they started off as MM but have since branched out to more risk-taking strategies. Have also heard of big losses. Is your internship for their market making or is it a specific desk? I would check in with them to make sure how they're doing so you give yourself some time to find something else in worst case scenario it does fall through.
You can probably ask that exact question to your contacts there. Even if it is a vague question, it might provide some decent insight.
I guess everyone who survived made an absolute killing?
following, whats the update?
Friend of a friend told me Belvedere has declared 0 bonus for 2020. Anyone say this is BS?
I have not heard anything, but I heard that they made money during that time. Anyone more connected know anything?
Did this end up happening or did people do okay?
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