Gamma squeezes - Discussion

This thread is for general discussion and analysis on gamma squeezes and it’s intricacies.

@mcgriffcrimedog mentioned a few things on the trading floor on why the workings of a gamma squeeze might have changed, @wahoowa wanted to look into why SST ran and why others didn’t.

Like Mcgriff said: ‘‘This thread should be a group effort dive in for different opinions and perspectives… charts on the low floats with no ramp volume match to dates from cme etc.’’

This is not my specialty so I won’t be adding much.

1 Like

From @mcgriffcrimedog on the THCA thread

My issue with anything being gamma squeezed is that MM have adjusted the how they hedge delta. (personally I noticed the initial difference in hedging for MM’s when IRNT made a push at open then dumped.) With that being said it seems that low float spacs with options pumps to about 15 (so they are tradable) but after that it trades flat (cause that is where the money is theta eats away at them and then before expiration they get massively pushed below strikes)So what i notice is that MM’s are taking advantage of the T+1,2 settlement. The SEC approved back in April of 2021 the rule for compression hedging being able…

[ ] (

It was proposed as a way to hedge indexed options, however on the bottom of page 32 they gave the ok for using it for Equities as well.

Multi lateral compression hedging has been utilized in derivitive markets by central banks and large instituitions to help with BASEL 3 compliance…

I do not think all equities are on the compression list. I think they are targeting certain ones, IE (tight float, memes, large option OI.) There is more to look at and I have some time into it but what I have gathered so far is that CME Group is the firm performing the hedge… It also is stated that it takes place on the Tuesday following the 3rd friday of the month (monthly options expiration dates)…

Example of compression hedge

So I also believe they are using PFOF (cant prove yet) to calculate cash hedging as well because fidelity, robinhood, webull, ( you have to have the ability to fund delivery or they sell out @3pm est on expiration.) Schwab will front on margin and maintenace call you… so the example is if they need to hedge 4,000,000 shares 1 million per broker, they can utilize PFOF to see they really only need 1 million for Schwabs contracts as those 3 can not fund the delivery DTE based on the PFOF information they have (or the brokers may request early)… Here is where it gets real unique lets say each of those firms has 250K shares already on the books now they do not hedge anything at all because the 1 million they need for schwab they can just borrow through the compression fund they all agreed to… where before they would each have to hedge 750K and have to buy when the contracts went ITM… since 3rd quarter last year no volume like that on things that have high OI/ITM…

These are the things I know for a fact so far since looking into this.

1 Like

We also have a large thread here on the fundamentals: Gamma Squeeze Fundamental - The HOW and WHY Basics

I am also wondering why SST moved the way we wanted ESSC to :cry:

Ah could close this one then.