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sqzme|Lightupthedarkpools.fa-rotate-45{-webkit-transform:rotate(45deg);-moz-transform:rotate(45deg);-ms-transform:rotate(45deg);-o-transform:rotate(45deg);transform:rotate(45deg);}sqzmeBenefitsPlansDocumentationAPISignupLogin#bulb-box{width:50%;text-align:justify;}#login-box{display:block;}ShortisLong GammaExposure TheImpliedOrderBook TheDarkIndex(DIX) GammaExposure(GEX) Theconceptuallinkbetweenshortsalesandinvestorbuyingactivity8212;thekeytounderstandingwhat"shortvolume"reallymeans8212hasneverbeenclearlydrawnbefore[now].–ShortisLongTradesmarkedwiththeseller"short"compriseabout49%ofequitysharevolume[...]it'snocoincidence.–ShortisLongVeryhighrelativepercentes(8805;45%[DIX])ofdollar-weightedshortvolumeareassociatedwithmean60-market-dayreturnsof5.3%,ascomparedtoameanof2.8%acrossthewholedataset.–ShortisLongSincefewheevenacknowledgedthepervasiveimpactofexistingoptionsontheirunderlyingstocks,noneheputforwardaprmaticmodelforpredictingtheday-to-dayimpactofthoseoptions.GammaExposure(GEX)isthefirstattemptatsuchamodel.–GammaExposure[...]aGEXfigurethatispositiveimpliesthatoptionmarket-makerswillhedgetheirpositionsinafashionthatstiflesvolatility(buyingintolows,sellingintohighs).AGEXfigurethatisnegativeimpliestheopposite(sellingintolows,buyingintohighs),thusmnifyinsquzme $1244Light up the dark poolsgmarketvolatility.–GammaExposureNotetheexponentialincreaseinvolatilityasGEXtrendsbelowzero,andthegradualtighteningofthedistributionasGEXrises.Itwouldbedifficulttocomeupwithanalternateexplanationforthisbehior.–GammaExposureThismeansthatwecanbuildauniquelyinformation-rich"impliedorderbook"simplybyknowinghowexistingoptionsmustbehedged.Fromthis,wewillbeabletoseewhereoption-originatedliquidityisabundant,andwhereitisscarce.–TheImpliedOrderBookButnowyou'dhetoexplainhowhighIVactuallycausesliquiditytobetakenfromthemarket.[...]Theanswerisvanna.–TheImpliedOrderBookWhenput-sellingbecomesthenorm,crasheshappen.–TheImpliedOrderBook 🍆🍆🍆–ShortisLong@media(orientatisquzme $1244Light up the dark poolson:portrait){.sqzme-container{/*overrideforsplash*/background-ime:url('/monitor/static/imes/splash/blurred/portrait_07.webp'squzme $1244Light up the dark pools);}}@media(orientation:landscape){.sqzme-container{/*overrideforsplash*/background-ime:url('/monitor/static/imes/splash/blurred/landscape_24.webp');}}(function(){letsize='medium';letorientation='landscape';letrandom_portrait='07';letrandom_landscape='24';letrandom=random_landscape;letimg=newIme();if(window.matchMedia("(orientation:portrait)").matches){orientation='portrait';random=random_portrait;}if(screen.ailWidth>2000){size='large';}img.src='/monitor/static/imes/splash/'+size+'/'+orientation+'_'+random+'.webp';img.onload=function(f,y,z){document.getElementsByClassName('sqzme-container')[0].style.backgroundIme='url('+this.src+')';};})();DocumentationAPIChartResearchBenefitsPlansSignupContactTermsLogin🍋AproductofSqueezeMetrics.©20158211;2024PriorAnalyticsLLC(function(i,s,o,g,r,a,m){i['GoogleAnalyticsObject']=r;i[r]=i[r]||function(){(i[r].q=i[r].q||[]).push(arguments)},i[r].l=1*newDate();a=s.createElement(o),m=s.getElementsByTName(o)[0];a.async=1;a.src=g;m.parentNode.insertBefore(a,m)})(window,document,'script','///analytics.js','ga');ga('create','UA--1','auto');ga('send','peview');