Re:What Is a Gamma Squeeze in the Context of Stock Trading?
by lordnacho on Tuesday January 12, 2021 @08:36AM
(#25746628)
I didn't mean to suggest that vanna isn't important, it's just part of the same mix of things to think about when prices/vols/rates move. Somehow it never came up much in conversation by that name, but it was a thing to think about.
The squeezemetrics people seem to have quantified it, it's actually quite impressive. The GEX and VEX thing seems to be what you are alluding to, and they seem to have crunched the numbers.
Browsing the papers it seems they assume that the customers are selling the calls and buying the puts? I think it makes sense, it's more sensible than saying all the open interest is one way on the market makers.
The squeezemetrics people seem to have quantified it, it's actually quite impressive. The GEX and VEX thing seems to be what you are alluding to, and they seem to have crunched the numbers.
Browsing the papers it seems they assume that the customers are selling the calls and buying the puts? I think it makes sense, it's more sensible than saying all the open interest is one way on the market makers.