Short version of a post on gex.live/research; the full write-up, definitions and reproduce block live there. Most published dealer-gamma numbers are built from open interest: yesterday's outstanding contracts, multiplied by a convention about who holds which side. Whether the convention is right is a separate question. The prior question is... Weiterlesen
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How much of the SPX options book is new each day? Open-interest change across 1,081 sessions
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Short version of a post on gex.live/research; the full write-up, definitions and reproduce block live there. Most published dealer-gamma numbers are built from open interest: yesterday's outstanding contracts, multiplied by a convention about who holds which side. Whether the convention is right is a separate ques...
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