I don't really see VinTek's post as hostile. Just kind of bewildered. Frankly, I am too. It astonishes us that someone can have an MBA and a $250k+ job in high finance without understanding basic ideas that a lot of us here take for granted. But your explanation is reasonable.
At your income level (well above $122k) you cannot contribute to a Roth IRA. Sounds like you would be eligible for a Traditional (deductible) IRA, but the maximum contribution is $5k per year. Bichon Frise alludes to the "back door" method of getting money into a Roth IRA, but we are still only talking about $5k per year. 401k limits are higher but they are only offered through an employer; can't just be "set up" on your own. So without getting really creative, I think you are stuck with taxable investing.
No idea who offers the best brokerage for trading individual securities. Even for people like you, I think picking individual securities would be a lot of time, effort, stress, and brokerage fees for the reward of probably just matching an index fund (which you can set-and-forget for as little as 5 basis points at Vanguard).
Spending $200k per year as a single person is absolutely mind-blowing, but if you plan to work in high finance until age 70 you'll probably be OK.
I would actually do as Tim says and do the deductible IRA. $5k deduction, but every little bit counts. Do note, if you ever become married and your spouse is eligible for an employer plan, you will have a to contribute to a non-deductible IRA. At that point, it would make sense to convert to a Roth IRA, but you will have to do so pro-rata against all your other "traditional" IRA accounts.
Okay, okay, I understand. The post was a bit all over the place, now that I read it over again. Thanks to everyone for their consul on this one.
Part of the reason I don't know anything is because I've spent my career abroad in very "ex-pat-ish" locations... most of the other guys I work with tend to be Europeans, and the U.S. is one of the only countries that taxes you while you're abroad (I think it's the only one). So they have nothing to offer on this front.
you can always hand over your passport. A minor clarifying point, the US requires you to file a tax return, which doesn't necessarily mean taxation.