I think it would be a good idea to flag that these models are based off a toy model and make some very large assumptions about dealers being short puts, long calls. Best guess is these models are ~30% accurate.
Thanks, Abe. This same info was already shared during the first post of this data, and a few subsequent. We could consider adding a standardized footer template, but I think, like most options positioning driven models, this is yet another 'naive' approach as you point out we don't know, and have no clear way to discern, all dealer positioning. So we extrapolate. The script I am using is indeed based off of Sergei's code, but it does have a rather significant code re-write in parts of it.
Thank you! Where might I read more about how to interpret, and what to do with the above info? I am a shitty trader, trying to be a little less shitty every day.
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I think it would be a good idea to flag that these models are based off a toy model and make some very large assumptions about dealers being short puts, long calls. Best guess is these models are ~30% accurate.
Or a link to the source of the data.
https://perfiliev.co.uk/market-commentary/how-to-calculate-gamma-exposure-and-zero-gamma-level/
Thank you! Where might I read more about how to interpret, and what to do with the above info? I am a shitty trader, trying to be a little less shitty every day.