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Squeezemetrics gex

Unconventional data, tools, and analysis for money managers.
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squeezemetrics .com. Joined January 2016. Tweets 14,664; Following 135; Followers 59,539; Likes 24,984; 1,587 Photos and videos. 1,587 Photos and ... will fall substantially tomorrow after the monthly option expiration. S&P 500 Index GEX has already fallen from +$147mm per point to -$105mm. This opens up the index to some long-awaited. As for the GEX, the correlation is rather positive. These two metrics are published by squeezemetrics. Below is the chart of the GEX divided by 1,000,000 - to make the values more understandable.
2016. 1. 28. · SqueezeMetrics. @SqueezeMetrics. ·. Feb 4. When investors buy puts, but the underlying doesn't violently go down, those puts decay. When those puts decay (charm, vanna, vol rolldown), dealers incrementally buy back their short position (their delta hedge) in the underlying. This is how the S&P 500 works. Quote Tweet.
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Only when GEX is less than 0. When GEX becomes substantially negative, historically we seem to butt up against investors' short put strikes, and forecasted volatility actually decreases. This is the only notable artefact.

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Unconventional data, tools, and analysis for money managers.

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The latest GEX values from SqueezeMetrics can be found here: https://squeezemetrics.com/monitor/dix (you need to enable GEX in the chart first). For April 17th, it reads $1,907,158,484. According to their whitepaper ( https://squeezemetrics.com/download/white_paper.pdf [PDF]) they calculate it as follows:.

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Gamma Volatility (GXV) is the 1-day volatility that's historically associated with the given level of GEX . It translates GEX into something more like VIX. That should be.
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SqueezeMetrics Retweeted SqueezeMetrics @SqueezeMetrics · Feb 2, 2020 When S&P 500 Gamma Exposure (GEX) is close to zero, the subsequent month of returns takes on a bimodal distribution. There are two types of markets: High GEX and low GEX. There's no "middle path." Show this thread SqueezeMetrics @SqueezeMetrics · Jun 3.

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the gex of a contract is "open interest" * gamma * 100 * k, where k = 1 for calls and -1 for puts; the GEX is the sum of the gex of each contract for all the available contracts; the value obtained in the previous point is denominated in shares, so to get the dollar notional value we multiply by the share price. The squeezemetrics site releases the data a couple hours after close on each.
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Which leads us to the brainiac’s over at Squeezemetrics and their GEX and VEX indices, which measure the Gamma and Vanna for the entire market, thinking that it is probably important to know where all these market maker firms need to re-hedge their ‘deltas’ based off the options they have sold to investors. 10. GEX/VEX:.
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2022. 4. 8. · As such, GEX can be a good buy or sell signal to time short-term volatility. Fortunately, just like the DIX, SqueezeMetrics makes the GEX available here. Fin. The DIX and GEX are excellent examples of applying a deep understanding of market mechanics to develop unique indicators which provide a better view of the overall state of the market. 2020.

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2022. 6. 21. · SqueezeMetrics Dark Pool Index (DIX) and Gamma (GEX) calculations are based on where the prior day's reading falls with respect to the MAX and MIN of all occurrences available.A higher DIX is bullish. At the same time, the lower the GEX, the more (expected) volatility.Learn the implications of volatility, direction, and moneyness. 2016.
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Identification of Market-Moving Forces . Gamma is a hidden component that can be a forceful driver of stock price. Our data quantifies and anticipates Market Makers' buying and se.

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shopsmith mark v weight. Only when GEX is less than 0. When GEX becomes substantially negative, historically we seem to butt up against investors' short put strikes, and forecasted volatility actually decreases. This is the only notable artefact. squeezemetrics.com. Joined January 2016.Tweets 14,664; Following 135; Followers 59,539; Likes 24,984; 1,587 Photos and.

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2016. 9. 15. · SqueezeMetrics . 3.68K Followers. Follow. Summary. This is not the kind of gamma exposure that turned Bruce Banner into the ... We first mentioned Gamma Exposure , or ".
SqueezeMetrics Dark Pool Index (DIX) and Gamma (GEX) calculations are based on where the prior day's reading falls with respect to the MAX and MIN of all occurrences avai l able.A higher DIX is bullish. At the same time, the lower the GEX, the more (expected) volatility.Learn the implications of volatility, direction, and moneyness. >> Anonymous Thu Dec 10 00:13:40 2020.
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the gex of a contract is "open interest" * gamma * 100 * k, where k = 1 for calls and -1 for puts; the GEX is the sum of the gex of each contract for all the available contracts; the value obtained in the previous point is denominated in shares, so to get the dollar notional value we multiply by the share price. The squeezemetrics site releases the data a couple hours after close on each.

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Squeezemetrics dishes on GEX/VEX If you aren’t following SqueezeMetrics on twitter @SqueezeMetrics.start. It seems all they talk about is the GEX and or VEX, but their recent paper shows why it’s so important. It provides a map of where and how liquidity is taken and provided to the S&P 500, and by default – sort of the whole system.

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Gamma Exposure (GEX) is a dollar-denominated measure of option market-makers' hedging obligations. When GEX is high, the option market is implying that volatility will be low. When GEX is low, volatility is high, and while we expect a choppy market, further losses are unlikely.

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Follow Follow @SqueezeMetrics Following Following @SqueezeMetrics Unfollow Unfollow @SqueezeMetrics Blocked Blocked @SqueezeMetrics Unblock Unblock @SqueezeMetrics Pending Pending follow request from @SqueezeMetrics Cancel Cancel your ... What you making of the GEX print today? Liquidity desert? 0 replies 0 retweets 1 like. Reply.

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I review squeezemetrics Darkpool indicator and my interpretation of the markets alongside it.squeezemetrics.com.
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The mechanism behind gamma exposure. Market makers buy and sell options from and to traders and must hedge their market risk by buying or selling the underlying equities or futures, if they want to avoid going broke sooner or later. This process is complex, because options move differently in comparison to the underlying market depending on how.
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From SqueezeMetrics's white paper on the GEX, it seems they just take the most recent value of gamma per-strike, multiplied by ... Also the information in SqueezeMetrics version of DealerGamma vis-a-vis forward squared returns appears to be at least partially independent of the information in implied SPX vol or recent SPX realized.

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The GEXDIX Rank 50+ indicator takes a 50 day percentage rank of the GEX Index by Squeezemetrics and a a 50 day percentage rank of the DIX Index by Squeezemetrics and adds the two together. The bounds of this indicator can be thought of as 0 to 200. A low value of this indicator suggests both GEX and DIX are low relative to the past 50 trading. 2020. 3. 7. · To calculate the GEX (in shares*) of all call options at a particular strike price in a contract: GEX = Г · OI · 100 Where Г is the option's gamma, OI is the open interest in the particular option strike, and 100 is the adjustment from option contracts to shares of the underlying.
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The GEXDIX Rank 50+ indicator takes a 50 day percentage rank of the GEX Index by Squeezemetrics and a a 50 day percentage rank of the DIX Index by Squeezemetrics and adds the two together. The bounds of this indicator can be thought of as 0 to 200. What Happened. Update: Technicals section now reflects the proper overnight inventory stat. After a week-long or so de-rate to reflect the impact of higher inflation and harsher monetary policies, equity index futures are trading in a responsive fashion.
"GEX(shares)" is calculated by summing gamma from calls at each strike (gamma * Open Interest * 100) and puts (gamma * Open Interest *-100). Other Notes: GEX calculations apply for symbols under the assumption that investors are primarily selling calls and buying puts (Market Markers buy the calls and sell the puts, then hedge their positive delta by shorting shares).

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Gamma Volatility (GXV) is the 1-day volatility that's historically associated with the given level of GEX. It translates GEX into something more like VIX. That should be enough to understand what's going on.

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2021. 11. 19. · Gamma and Gamma Exposure ( GEX ) are becoming increasingly important forces in today’s market, and have the potential to become one of the most important non-fundamental flows in equity markets. As traders, we are always interested in developing and understanding new and persistent market edges.
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2021. 4. 15. · GEX and VEX are the two dealer delta sensitivities that have a large, persistent, and immediate impact on current S&P 500 liquidity, we want to be able to view the.

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