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Sergei Perfiliev Profile picture
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Feb 6 • 3 tweets • 2 min read
I've updated the Gamma Python script on the website:
perfiliev.co.uk/market-comment…

Specifically, made the following changes:

1. Added more charts to display Total Spot Gamma and by Puts/Calls separately.
2. Fixed the EU/US date format issue - it should be able to handle both cases now (note the sneaky coma😬):
Date: February 5, 2022, 3:08 PM EST
Date: 5 February 2022, 3:08 PM EST

If there are other formats, please let me know and I'll add them.

3. Fixed divide by zero errors.
4. Changed treatment of 0DTE options.

If an option expires on the same day, I'm setting its DTE = 1 day.

This due to complexity of calculating hours/minutes till expiry with the correct time zones and different global time formats from CBOE🤯

Feel free to change this.

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More from @perfiliev

Sergei Perfiliev Profile picture
Feb 7
Ok, I see people started running my code on all kinds of things now - single-stocks, Bitcoin, their neighbours' mortgage...

VERY IMPORTANT:

Remember, we're trying to predict option dealers' delta hedging actions based on dealers' positions!

"DEALERS' POSITIONS" is the key! 👇
We need to know how many options they hold and hedge.

Only then we can translate that into gamma.

If we don't know their positions, all of this is meaningless.

For US indices, we're making an assumption that investors sell calls and buy puts, with dealers taking the other side
This is based on index skew, strong call overwriting flow, put protection buying etc...

It's a crude approximation, but allows us to calculate 'naive gamma'.

For single stocks and Bitcoin this assumption does not hold.
Read 5 tweets
Sergei Perfiliev Profile picture
Feb 3
Are you tired from constantly living in the dark, fully unaware of the current Gamma Exposure?

Are you frustrated from having to guess the Zero Gamma level ALL THE TIME?

Are you annoyed from not knowing what the f*ck all of this even means!?!

I know, I was.

👇
Hello, my name is Sergei.

And today, I'll show you how YOU can change YOUR life, once and forever!

After this 10-minute tutorial, you'll be able to take full control of your gamma needs and live the life YOU want.

Impress your boss, colleagues, friends, spouse, children, dog!
By the end of this thread, you will be able to:

• Create a simple spot gamma chart for your favourite stock index.
• Compute its total gamma exposure.
• Construct a sleek-looking gamma profile chart 😎
• Calculate a Zero Gamma level (aka Flip Gamma).

🔥 !! AND !! 🔥

👇👇👇
Read 54 tweets
Sergei Perfiliev Profile picture
Jan 21
Yesterday, many noticed that @squeezemetrics's GEX index hit an all-time low.

Lowest reading ever.

Since GEX measures gamma exposure, a low value implies the dealer's delta is less sensitive to index moves.

However, why would this be a bullish signal?
This is something I tried to understand, so here are some thoughts behind this.

Historically, a very low GEX has indeed been a short-term bullish signal.

This can be seen even from visually observing the chart on dix.sqzme.co
The low points of the GEX coincide with SPX moving higher shortly after.

Important to note is that low values also coincide with a selloff in the index shortly before.

It makes sense as we move from the positive-gamma dealer-long-call region into the negative-gamma price range.
Read 11 tweets
Sergei Perfiliev Profile picture
Jan 13
TO ALL EQUITY PMs:

YOU MAY NOT BE INTERESTED IN OPTIONS, BUT OPTIONS ARE INTERESTED IN YOU!

$SPX options make up 16% of the $SPX market cap!

Options gamma is one of the most significant structural flows within the equity markets.

Let's explore how it impacts your business 👇 Image
Options are often linked to insurance.

And many times, rightfully so.

They can help protect your portfolio when the sky is grey, and the rain washes down your hard-earned gains.

However, there's a key and vital difference.
Traditional insurance business typically uses diversification as a risk-management tool.

The exposure to any single adverse event can be hedged by insuring other adverse events that fail to materialize.

With enough uncorrelated bets, it's possible to achieve a positive return.
Read 37 tweets
Sergei Perfiliev Profile picture
Jan 5
Wait, wait! Hold on!

Yes, #JHEQX. Again. I know.

But sorry, over the last few days I was very... busy... 🍷🎄

And looking into the #JHEQX roll, I can't say that I fully understand it.

(and based on the discussions, it looks like I'm not alone...)

Let's see what happened 👇
The trade sparked many heated conversations on Twitter, with everyone trying to understand what exactly will be its impact.

Some argued that there's a huge delta to buy, which might move the markets.

Others claimed that it's all been priced in already, and no money can be made.
What I want to understand is:

• Was there a huge delta to buy?
• If there was, why was the market down on 31 Dec?
• If there wasn't, why?
• If it's priced in, then how?
• What mechanics allowed #JHEQX to alleviate the market impact?

Read 30 tweets
Sergei Perfiliev Profile picture
Nov 26, 2021
The media seems to attribute the current sell-off to new Covid variant.

However, I'm curious how much of the sell-off is actually due to Covid and how much is due to a less dovish Fed, as there were news that Fed might double its tapering and raise rates quicker than expected.
If the market is indeed falling due to a new variant, in my opinion, the impact might be limited.

Even if this variant is more serious than earlier ones, it's very unlikely it will have the same worldwide economic impact as the original coronavirus pandemic in March 2020.
The world has been living with Covid and we all know the drill by now.

If anything, an argument can be made that Covid is good for stocks, as $SPX more than doubled since its Covid lows.

A new variant can give Fed an excuse to carry on with QE and keep the BTFD mentality alive.
Read 4 tweets

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