Insights.
Research notes on order flow and market microstructure, and on options positioning and volatility.
Research Framework
How observations become tested research, and research becomes a decision.
Order Flow & Microstructure
How orders, queues and liquidity interact to move price over short horizons.
The Mechanics of Aggressive Order Flow and Passive Absorption
Decomposing aggressive market orders against resting liquidity, identifying absorption regimes and distinguishing genuine absorption from temporary execution imbalance.
Liquidity Depletion and the Dynamics of Short-Term Price Discovery
How order-book depletion, replenishment rates and queue dynamics influence short-horizon price discovery.
Trade Initiation, Adverse Selection and Market Impact
Analysing the relationship between aggressive execution, adverse selection and subsequent price movement.
Options & Volatility
How options positioning and dealer hedging can shape flows and volatility.
Gamma Exposure and the Mechanics of Dealer Hedging
How dealer gamma positioning can influence hedging flows, intraday volatility and price stability.
Vanna, Charm and the Dynamics of Options-Driven Flows
How changes in implied volatility and time to expiry affect delta exposure and potential hedging activity.
Open Interest Is Not Positioning
Why open interest alone cannot establish dealer directionality or reliably determine who is long or short gamma.
Insights are research notes published for general information and education. They describe market mechanisms, not the firm’s positions or results. They are not investment advice or research recommendations, and nothing in them is an offer or solicitation.