For gamma itself it is straight forward enough to just watch gamma like what it shows in this chart. When gamma rises, hedging activity will have to increase for sure whether MMs hedge in real time or in batches. But like every other chart, nobody knows where the acceleration will stop or start. Also depending on whether hedge is in real time or delayed batches. Ideally hedging in real time is better for gamma movement since it also adds pressure to keep the gamma up. If MM operates in delayed batches then it depends on where they are on the chart they may not need to hedge as much. I personally think that MMs hedge mostly in real time because that’s the most simple and failure proof method, while the delayed hedging we see are from other players in the market.
So basically as delta starts to rapidly increase you’d eventually see a decrease in gamma would signal hedging is occurring as underlying price increases ?
no, gamma is a measure of the acceleration of delta. If hedging happens in real time and pushes delta up then gamma can keep increasing, until of course delta of 1.
Might try to get cheap fill on this tomorrow volume was roughly 180k over its recent average. And still only monthlies. Lots of time left before September expire. If some retail sentiment picks up we have already witnessed how it can run. OI at 30 strike gets 32 percent of the float ITM whole chain is 140 percent plus. Chain stops at 55. So not entirely out of the question.
It’s likely the SI means nothing in regards to covering but could lead to a retail pump if it keeps up momentum and sentiment. Volume killed this last expiry and it’s now getting more. Could be building to even better setup than it was.
Retail Twitter folk have been emailing everyone about the float for GETY and supposedly these numbers will be updated as of tomorrow in Ortex and Fintel. Whether or not that draws attention to it is yet to be seen, but I’ve been watching some Twitter furus who are keen on this one to see what they’re talking about.
