Thread by @SqueezeMetrics

@Barton_options GEX is Gamma Exposure: squeezemetrics.com/download/white…

SPX Component GEX is the aggregate GEX of S&P 500 components (AAPL, AMZN, BAC, etc.), measured in 1% moves, and denominated in dollars.

It can be found here -> dix.sqzme.co

@Barton_options While it implicitly emphasizes the GEX values of stocks like the FAANGs (due to the high open interest in those names), it is dwarfed by the size of the gamma coming from CBOE's SPX index options.

That said, it correlates strongly to SPX index gamma.

@Barton_options Right now, two things have caused Component GEX to reach for the sky.

1. The January option expiration is next week, so the gamma from January LEAPS (lots of OI) is elevated.

2. The market is going berserk, because reasons. So more calls are ATM, so gamma is higher.

@Barton_options When next Friday has passed, SPX Component GEX will tank. And SPX GEX itself will also fall.

Remember Volmaggedon in February of '18? That break only occurred because the January OpEx (which caused high GEX) had passed.

Some are concerned that this could happen again.

@Barton_options The big difference between now and then, from our point of view, is DIX. (Also at dix.sqzme.co.)

Back in February, DIX was low, because folks were selling hard into dark pools, taking profits.

Right now, that type of selling just hasn't started yet.

@Barton_options So, in summary:

Be mindful of an increase in volatility after the January options have expired, but you probably won't see the likes of Volmaggedon again.