Moontower Munchies #143
I believe it does not tell you...
Whether price will continue
Whether flow is informed
Whether dealers are long or short gamma
Whether pre-positioning already occurred
It only estimates:
“If I trade this much, how much slippage should I expect?”
That’s execution math, not alpha.
I needed that last tidbit on motivation/mastery today, ty sir!
Also relevant to the sqrt impact conversation, Jean-Phillippe Bouchaud of CFM just wrote another piece revisiting some assumptions: https://www.risk.net/cutting-edge/views/7963090/markets-never-forget-the-lasting-impression-of-square-root-impact
I believe it does not tell you...
Whether price will continue
Whether flow is informed
Whether dealers are long or short gamma
Whether pre-positioning already occurred
It only estimates:
“If I trade this much, how much slippage should I expect?”
That’s execution math, not alpha.
I needed that last tidbit on motivation/mastery today, ty sir!
Also relevant to the sqrt impact conversation, Jean-Phillippe Bouchaud of CFM just wrote another piece revisiting some assumptions: https://www.risk.net/cutting-edge/views/7963090/markets-never-forget-the-lasting-impression-of-square-root-impact