Market Making —
Trades done using the TREMMORS™ algo on a record-swing (368 point range) day of Thursday August 16th and the following strong trending (230 point spike) day of August 17th.
The CBOE Volatility Index shot to 37.5 by noon on Thursday the 16th and closed near its lows around 30.8. A wide range day that swung violently between deep losses and […]
While the VI4 strategies were primarily conceived as “benchmark-beating” tactical agents, the “TREMMORS™” algo was designed to inject liquidity while capturing alpha within a broader electronic market-making setup.
Like the VI4 algos, the underlying logic here is primarily driven by price, volatility and directional-biases. On the other hand this algo attempts to lock-in short-term profits while flattening the inventory position into the close.
As with our core […]