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Trading Volatility

Jul 7, 2021 • 18 tweets • 6 min read

The market is in a lull where there is ~zero constructive gamma on stocks to help push them higher. In fact, most names are pretty heavy on puts.

Look for building of negative Skew-Adjusted Gamma Exposure and Gamma Call Ladders. Until then sit on some cash and enjoy Summer.

Every meme stock builds to exploding higher by establishing negative Skew-Adjusted GEX and a gamma call ladder.

Once the gamma structure changes and call ladder dissipates the move has generally run its course.

Our morning routine of processing millions of options for thousands of stocks to calculate gamma exposure, gamma structure, skew, price compression, and dark pool activity just finished.

Slow summer action continues. Waiting for gamma to build back up.

stocks.tradingvolatility.net/gexDashboard

You should at least start trying to locate your Buy button now.

📢 Today:
Free access to our database of 1,000s of stocks for:
⭐GEX and Skew-Adjusted GEX readings
⭐Skew, IV, and put/call trends
⭐Dark pool activity

The start of a new gamma squeeze cycle is approaching...

stocks.tradingvolatility.net/gexCharts

Slow summer action, visualized.

Dip your toe in the water.. it's nice.

Yesterday's afternoon GEX Dashboard brought us $SPRT with a solid call ladder.

$SPRT +21% so far.

Slow grind in $SPRT.

$SPRT escalating.

$SPRT highest option strike yesterday was $18. Today strikes added up to $23 as an attempt to spread out the gamma exposure to irrelevant strikes.

We have the best publicly available gamma exposure tools on the planet.

$SPRT

The #APESNOTLEAVING idea is that $AMC $GME are hold forever stocks that are destined to go up.

Maybe would be better to find something else to focus on?

Like go find a new gamma squeeze setup like $SPRT was.

+200% in the past month. That's fun. right?

stocks.tradingvolatility.net/gexCharts?tick…

Careful. Strikes up to $30 added on $SPRT. Market makers circling prey.

Lol. $sprt

Damn son.
$SPRT +160% overnight premarket short squeeze.
🌋

$1 into $25 in 3 weeks.

Many thanks to whichever of our subscribers found this one and added it to our database. 🤗

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More from @TradeVolatility

Trading Volatility

@TradeVolatility

Aug 18, 2021

Gamma action cheat sheet:
1) Investor sells calls
a) At trade Opening:
- MM is long calls --> long delta, long gamma. Shorts stock to be delta neutral.

b) Re-hedging:
- MM sells underlying as price rises. Buys underlying as price falls

1/n

c) At expiry:
A) calls at strikes above underlying expire worthless and deltas drop to 0. MM buys stock to flatten.

or

B) calls at strikes below underlying expire ITM and deltas go to 1. MM sells stock to stay neutral.

2/n

2) Investor buys puts:
a) At trade Opening:
- MM is short puts --> long delta & short gamma. Shorts stock to be delta neutral.

b) Re-hedging:
- Buys underlying as price rises. Sells underlying as price falls.

3/n

Read 9 tweets

Trading Volatility

@TradeVolatility

Jun 2, 2021

https://twitter.com/TradeVolatility/status/1397195815928705027

A thread on why we flagged $AMC on May 25:

There are two items to look at from the screenshot in the original posting:

1) large negative Skew-Adjusted Gamma Exposure relative to avg daily trade volume

2) the gamma call ladder

https://twitter.com/TradeVolatility/status/1397195815928705027

SA-GEX/avg trade volume is large at -0.716.
that # is the ratio of GEX (given in shares) needed for market makers to re-hedge their positions div by the daily average trade volume (in shares). At -0.71 most of the shares traded daily are needed just to re-hedge MM positions.

There is a large amount of call gamma on adjacent strikes above current trading price forming a gamma call ladder. This allows gamma to continue to be a factor as price rises, instead of diminishing once it exceeds a particular strike level.

Read 9 tweets

Trading Volatility

@TradeVolatility

May 4, 2021

New to our Gamma Exposure Dashboard:

Identification of which stocks have a call ladder gamma formation, primed for upside gamma moves.

$CLF $X $FCX $XOM $IBM $RKT $HD

stocks.tradingvolatility.net/gexDashboard

$X $FCX and others dropping out of gamma exposure "call ladder" formation after big moves in the past two days, but some great names on the last after today:

$OXY $GSAT $CLF $T $MOS $BP $IRDM

stocks.tradingvolatility.net/gexDashboard