Oscar D Þorson 🇺🇦🇮🇱 Profile picture
Sep 30, 2021 24 tweets 7 min read Read on X
Alright, how wants some fun analysis on Santander bikes? Image
@TfL has a great API and I have been polling it for almost two weeks now to get the detailed status.

Firstly, there are almost 21,000 docks but only 8,000 bikes, so max dock occupation is 38% Image
What surprised me that peak usage of the bikes is actually not that massive. Even at the lowest level of availability there were only 2,000 of the 8,000 bikes in use Image
usage patterns on the other hand are not surprising: big and sharp peak in the morning and in the evening, and constant drawdown during the day with a slight peak during lunch Image
one thing that was slightly bizarre was that for 4 days last weak the night peak was about 200 bikes short (10% of peak utilisation). Who was hogging the bikes at night?!? Image
Any. So whilst the over volatility in occupancy is not that much, on any individual station it is usually massive. Here Gloucester Road for example Image
So how often is a station "impaired", ie empty or full? Full, not that often. 200 stations never get full, and even the worst ones are full only 40% of the time Image
Who are those stations I here you asking? here we go -- all stations that are full more than 20% of the time Image
Empty is a different story -- less than 100 stations are never empty, and whilst the peak is also about 40-50% a lot more stations are in this area Image
those are the stations -- Kensington, City, tourist areas Image
Here the geo plot of this data -- the darker the more often the stations are empty Image
The same for full stations -- it evened a bit out over the last week, but in the first few days there was a massive rim at the south boundary Image
(I started collecting data at a weekend, so my guess is that people use the bikes to drive home as far as they get and walk the rest)
Here for example the chart for Sunday the 19 September, at 4:32 BST (3:32 UTC in case you are wondering) Image
one important context though: if a station is “only” empty 40pc of the time this typically means “there are bikes available at night”
for example my local station — the reason why I started all this — generally starts emptying at 730 and is empty by 830. by 930 some bikes are back.

TLDR: percentages do not tell the full story
rack occupancy at 17:34 vs occupancy now (23:17) ImageImage
so essentially people moved out from the center to the periphery (and to the train stations)
plenty of bikes available... Image
despite the weather some people are out there... Image
but then we see that by and large Londoners don't like the rain -- a lot less cycling today... Image
they do however come out now, at least in the High Street Kensington area... Image
yesterday vs today, both 12:25 BST; clearly a lot more going on in the centre when the weather is nice... ImageImage
however, last night vs today shows that there still was some movement into central London ImageImage

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More from @odtorson

Mar 20, 2023
So after the short commute related interruption let’s get to the meat of the story: how come you can write down AT1 without writing down equity and what does it have to do with the GFC
the pre-history of hybrid capital, its relation to Basel, and the issues of T2 capital experienced in the GFC are here
So the T2 issue was they it did not work without letting the institutions default; people were thinking of scrapping T2 altogether but this would have either meant lowering capital requirements or raising even more massive amounts of equity, none of which sounded nice
Read 32 tweets
Mar 20, 2023
A brief history of Cocos and other AT1 instruments — and how come you can write them down when there is still equity left?
the short answer first: the pecking order most people are thinking of establishes the GONE concern (bankruptcy) waterfall; we are talking about GOING concern events here so they don’t have to be the same
Tier 1 and Tier 2 capital instruments were established under Basel 1 when many banks had to shore up their capital position dramatically. The infamous 8pc was actually 4pc Tier 1 and 4pc Tier 2
Read 13 tweets
Dec 19, 2022
Why AMM Gamma is different from derivatives Gamma

medium.com/@odtorson/why-…
In this article I am looking at the difference in Gamma bleed (or Gamma income) from AMMs and from Black-Scholes-Merton style hedging
As a reminder: when hedging an option, the hedge portfolio is linear (cash+risk asset) and therefore matches the level and slope of the payoff profile; the residual is therefore quadratic

Here we hedge around x=1
Read 12 tweets
Dec 17, 2022
Here a meta-thread, pulling all the AMM Triangle threads together Image
1/ The original thread, introducing the AMM Triangle
2/ The relationship between the AMM Triangle, IL, and LVR
Read 6 tweets
Dec 17, 2022
What we all got wrong about calculating Impermanent Loss

link.medium.com/SWtnmtlzPvb
Essentially, the current definition of IL is this one, and it is impermanent in the sense that it vanishes at xi=1, ie when prices return to their initial value Image
The key operational points are here
1. the AMM portfolio is alway 50/50 in each token
2. the AMM portfolio value is sqrt(xi)

Note that (1) is equivalent to (2) -- (1) is the delta hedging "replicating portfolio" of the square root profile (2) Image
Read 7 tweets
Dec 13, 2022
I wrote a little note on liquidity providers, options and AMMs, following up on today's discussion with @guil_lambert and @MBRichardson87

medium.com/@odtorson/liqu…
It has no real conclusion yet, but I wanted to introduce that AMM Triangle which I feel can become important to understand how to replicate options with AMMs
TLDR:
- liquidity provider: long fees, short options (aka IL)
- arbitrageur: short fees, long Gamma
- option trader: long option, short Gamma
Read 4 tweets

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