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To extract long vol view buy options and delta hedging of gamma exposure is required. This is quoted in reading of L3 Material of HF strategies. What does last part of sentence i.e. delta hedging of gamma exposure mean?
The CBOE (Chicago Board Options Exchange) and Market Makers are not properly Delta Hedging. There are currently 68.5k contracts (6.85 Million shares) In The Money as of now vs 11.5k (1.15 million shares) worth put contracts In the Money. With a gamma ramp all set up, yet we aren't moving.......
Buy and HODL GME. This is the only way. I did buy (10) $950 2023 calls a couple months ago. I have bought and held shares each and every week since Jan. I have bought at $500 plus premarket in Jan and bought in the $30s. I have a nice collection going.
Now, with that said, I'm going to talk about Options purely to explain the fuckery that I see. I have traded a long time. I've never seen any other stock not respond to an literal Gamma Ramp sitting on top of it. I saw this happen a couple weeks ago during a hype date with a Gamma Ramp that didn't get used. Something is VERY fishy about this compared to other stocks and gamma ramps that I have seen in my years of trading.
Now, Need some help. Can someone explain how GME has that much call (buy) side pressure, a normally skewed buy to sell ratio on Fidelity, a HUGE gamma ramp setup for yesterday/today and yet the stock isn't moving??? I've checked the put volume that has came in and it's not large enough to hold this stock back from being properly hedged. This is as of right 5pm Aug 26th 2021 So what gives? Other stocks would fly up with that ramp in place, how is it being held down today? I'm watching multiple streams and an options scanner on GME for incoming ITM Puts to tank the price.
So far, the only thing I can come up with is that Fellow Chicago buddy The CBOE and Market Makers (Citadel is GME's Market Maker) are not being safe with GME and derivatives . I think they are trying to give themselves as much time as possible to get retail to sell their options....without actually properly remaining delta neutral.
This is similar to what happened back in Jan when they started to lose control and it started to get away from them. They got flooded with cheap calls and they couldn't keep up. There were no shares back then and now the problem is bigger. I think they simply aren't hedging properly. If Tuesday comes around and this stock needs to find an additional 1.27 million shares (If the price doesn't rise up tomorrow and stays right here at 205) this will push the price further up.
The bid ask / spread is still super far apart which means movements will be violent.
If anyone sees or understands something I'm not getting, please let me know. I'm in this because I've never seen a stock act like this before and I have been trading for years. So I'm all in.....but let me know if you have thoughts!!
Very high OI for otm options this week, gamma squeeze could start if SST breaks 25$ causing a chain of buys from delta hedging, next chain reaction would be 30 after 25
Another Look at Options, Delta Hedging, and Gamma Squeezes: A re-evaluation of Ancient Wisdom
Edit: I want to clarify a few things. I am NOT advocating any specific strategy. I DO want to foster an in-depth evidence based discussion of what is right and wrong about ape stances on options. So far, this much seems clear:
OTM calls, especially deep OTM are a huge waste and line Kenny’s pockets. No apes should even consider deep OTM options.
ITM calls, especially deep ITM calls are safer and would apply buy pressure from Kenny delta hedging to remain neutral in case we exercise ITM calls.
If each ape hypothetically bought a single deep ITM call with a long exp, they could exercise it post-MOASS, and it would cause a huge amount of buy pressure from Kenny delta hedging in case apex exercise. It also allows apes to sell all shares during MOASS then exercise the single call post moass so we can hold GME long term.
None of this overrules BUY AND HOLD SHARES.
I’d appreciate any thoughtful discussion, especially evidence based discussion, about the above. So I’m at home minding my own business, surfing YouTube after I finish watching GG destroy CNBC’s hopes and dreams, and I come across a video that claims to have a “Barclays Strategy that Beats the Market.” This damn video has been on my recommendations for weeks, but I never watched because who cares, I’m all in GME and I hate clickbait. Then tonight, I see that the same channel did a video about DFV and value investing and I was like, “Hmm, maybe I’ll watch the stupid Barclays one out of sheer curiosity…” Damn you click bait! Here’s the video if anyone is interested: https://youtu.be/8pYgz4YlQnE So I’m watching, and he basically goes through this Barclays report which he links here: https://www.docdroid.net/5gM68EW/barclays-us-equity-derivatives-strategy-impact-of-retail-options-trading-pdf#page=15 If you don’t want to follow the link, don’t worry, I’ll post the most relevant page in a second. So one thing in the video jumped out at me, and it was the part when he was talking about market makers delta hedging with options that jumped out at me. Here’s the relevant page from the report (page 15): https://i.imgur.com/6irldBa.jpg It basically says that when there’s a large volume of call orders, if the market maker can’t immediately hedge by selling a put, then they buy stocks to hedge the calls they sold. This creates huge buying pressure on the stock resulting in gamma squeezes. Most of you, I believe, understand this. Yet, for some reason, the prevailing wisdom among apes has been to avoid options like the plague. I submit that we should re-examine that opinion very closely based on this Barclays report and our prior experience. I am at least vaguely aware of the supposed DD that when we buy options (especially deep OTM options) we may be giving Kenny money, and while this may (or may not?) be true, it may still be the most reliable way to…show support our favorite company, as buying the correct calls would force Kenny to use that money to buy shares to hedge the calls, driving up the price. I submit that it is possible that the wisdom to avoid options may be FUD, and that perhaps near the money options purchases may force Kenny to hedge buy buying shares and driving up the price. I ask that all options-wise apes please devote some wrinkles to an unbiased re-examination of this hypothesis. Interestingly, my post is not showing up in New in the Super Sub? Verrry sus. 🧐🤔
Gamma ramp once significantly above 7. ATM delta hedging is 50% but at 7 or 8, it goes all the way to 80%. That will mean millions of shares needing to be bought.
Delta, Theta, Gamma, Vega, Rho.. was griechische Buchstaben mit Optionen zu tun haben
Hallo liebes Hebelwerk, Die letzte Woche war blutig für die meisten von uns. Anstatt ins Depot zu schauen hab ich mich entschlossen mein Wissen über Optionen zu erweitern und möchte eine kleine Zusammenfassung der sog. "Greeks" hier veröffentlichen, welche dem einen oder anderen bestimmt helfen kann die teilweise komplizierten Diskussionen über und mit den Greeks zu verstehen. Was sind Griechen und wozu braucht man sie? Optionen tragen Risiken, um diese besser zu veranschaulichen wurden die Griechen erfunden. Es gibt verschiede Griechen und jeder Buchstabe kann anders benutzt werden, sodass die unterschiedlichsten Strategien entstehen. Die Griechen werden jeweils mit der ersten partiellen Ableitung des Black-Scholes Modells berechnet. Delta, die Veränderungsrate Delta ist die Veränderungsrate des Optionspreises in Bezug zur einer Preisschwankung von 1$ des Underlyings. Eine Call-Option hat immer einen Delta zwischen 0 und 1; eine Put-Option einen Delta zwischen 0 und -1. Wenn wir also beispielsweise eine Call-Option mit einem Delta von 0,5 besitzen und unser Underlying steigt um 1$, so ist unsere Call-Option 0,5$ mehr wert. Delta kann aber auch zum Hedgen benutzt werden, um eine "Delta-neutrale Position" zu haben, also eine Postion dessen wert immer gleich bleibt, egal wie sich das Underlying bewegt. Dazu nimmt man den Delta der von uns gehaltenen Call-Option und multipliziert diesen mit 100. Den Betrag des Ergebnisses gehen wir short mit Aktien. Wenn also unser Call einen Delta von 0,6 hat, multiplizieren wir diesen mit 100 (=60) und gehen also 60 Aktien short. Egal wie viel sich das Underlying bewegt, unsere Position bleibt +-0. Theta, das Spiel gegen (oder mit) der Zeit Theta veranschaulicht die Preisänderung der Option wenn jede andere Variabel gleich bleibt. Wenn wir also eine Put-Option mit einem Theta von -0,3 halten, dann würde unsere Option jeden Tag 0,3$ weniger Wert ein, voraussgesetzt alle anderen Variabeln bleiben gleich. Theta fällt bei Optionen wenn diese ITM oder OTM sind, bei ATM Optionen steigt dieser Wert. Theta steigt außerdem sobald das Expiry Datum der Option näher kommt. Für Long Calls und Puts ist Theta ein Feind. Wenn man aber Short Calls oder Puts Postionen eröffnet, spielt dieser Wert einem in die Hände, da Short-Seller von fallenden Preisen ihrer Optionen profitieren. Short-Option Positionen haben immer einen postiven Theta. Gamma, warum sich Delta ändert Delta bleibt nicht immer gleich. Wie sich Delta verändert beschreibt Gamma. Gamma lässt sich beschreiben als den Betrag den Delta sich verändert, wenn sich das Undelying um 1$ bewegt. In einem therotischen Beispiel sind wir Halter eines Long-Calls mit einem Delta von 0,4 und einem Gamma von 0,3. Wenn sich unser Underlying jetzt um 1$ steigen würde, dann hätte unsere Option einen Delta von 0,7. Man kann also nicht nur Delta neutral sein, sondern auch Delta-Gamma neutral. Man versucht dann den Delta nahe 0 zu halten, damit Preisschwankungen des Underlyings keine Rolle für die Postion spielen. Vega, warum Volatilität nicht unwichtig ist Wenn sich die IV ändert, dann ändert sich auch der Preis einer Option. Diese Abhängigkeit beschreibt Vega. Wenn sich also die IV um 1% erhöht und unsere Option hat einen Vega von 1, dann steigt der Wert unserer Option um 1$. Vega ist am höchsten wenn die Option ATM ist und noch eine lange Zeit bis zum Expiry hat Rho, Zinsen spielen eine Rolle Wenn die Zinsen steigen, dann steigt auch der Wert einer Option. Rho ist der Wert der diese potentielle Preisschwankung abbildet. Nehmen wir mal an wir besitzen einen Call mit einem Rho von 0,2. Sollte der Leitzins nun 1% steigen, so würde unsere Option 0,2$ mehr wert sein (das Gegenteil gilt für Put Optionen), wieder vorrausgesetzt alle anderen Variabeln bleiben gleich. Rho ist wie Vega am höchsten, wenn die Option ATM ist und weit weg vom Expiry ist. Das wars? Nein, es gibt noch andere Greeks wie z.B. lamda, epsilon, vera und ultima. Sie werden zunehmend in Strategien genutzt, da sie schnell durch Computer berechnet werden können, jedoch spielen sie momentan eine eher untergeordnete Rolle. Quellenangabe: https://www.investopedia.com/terms/g/greeks.asp
Was deriving a formula for delta-gamma hedging and wanted to know how prevelant is that in the markets. -> Wouldnt it be too expensive ? You would be loosing spreads in another option as well on each day of hedging ( and option volumes can fluctuate a lot due to movement in underlying that can affect the bid-ask spreads ) -> Or could you just do gamma hedging just at initiation (less-frequently) and do delta hedging during the life (frequently) ? I know that delta hedging is quite common in trading world ( from readings). But never heard a word about gamma hedging. P.S.: I am a student
I've been seeing a lot of misinformation about call options in this sub and I would like to clear it up so we can get a gamma squeeze going. We need to purchase both shares and get contracts in the money. Most of AMC's price action today was due to delta hedging from market makers.
Attempted to figure out what today's movement means in regards to outstanding options interest and the hedging that would need to be done for call sellers. Wrinkle brains please correct me where I'm wrong, but the last two columns reflect the increased buy pressure at each strike from today's movement and hypothetically if we hit $300 by Friday's close. Ultimately, I believe that today's movement forced almost $38m/180k shares in forced hedging, and it would jump to $158m/526k shares if we pushed to $300/share by Friday. https://preview.redd.it/wedy142b5dj71.jpg?width=3300&format=pjpg&auto=webp&s=ded9dc03944a587c4423192abae0cadf8f7634d3
The CBOE (Chicago Board Options Exchange) and Market Makers are not properly Delta Hedging. There are currently 68.5k contracts (6.85 Million shares) In The Money as of now vs 11.5k (1.15 million shares) worth put contracts In the Money. With a gamma ramp all set up, yet we aren't moving.......
@electnomics : $BBIG If buyer didn't leverage that golden gamma squeeze opportunity of market maker delta hedging that stuffed 5 Millions plus shares from 5 to 6 -- Do you think that call open interest is ?
Delta and Gamma Hedging --looking for learning resources.
TLDR: Please share any recommend articles or videos that clearly explain these concepts (and their applications). Detail: I trade SPX diagonals, by buying long term calls (~60Δ ~60DTE) and selling weekly calls against them (~30Δ ~3DTE). Also known as selling poormans covered calls. So far it's working out, but I want to have a deeper understanding of the behavioutrajectories of my positions, so I can optimize my plays. To do so, it looks like I may need to learn about Delta and Gamma Hedging (ie: to really master simple diagonals and selling pmccs) Please share any articles or videos that explain these concepts well. Thanks in advance.
If you can find a ticker more broken then SST then let me know cuz... the numbers are insane. WSB DD here from a smart dude for further reading. Again, we have 703,000 float deSPAC and the options activity has continued to climb resulting in MMs holding 380% of the float via delta hedging. On top of that the FINRA short interest is up to 200% float at this point, 100% utilization, and hit 100% CTB yesterday. As stress on the ticker continues, I expect to see these numbers climb. I think this is a situation where both price and IV expansion are possible if the top blows. It will take an initial gamma squeeze via call buying. This should push price above the threshold to squeeze shorts. I'd imagine that may occur above $20 since the short cost basis is ~$10 and at 100% margin requirements, that puts squeeze price at $20. Update insane gamma ramp below: https://preview.redd.it/asw5syalpkm81.png?width=683&format=png&auto=webp&s=7cfe760041c715617d0fa95ea2dad90cb527e498
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