Here’s a riddle: Suppose you want to measure the impact of OI on price movement, but unlike intraday trading you have no insight whether a trade was initially bought or sold by a dealer. How would you gauge the bot/sold distribution?
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You have so many unknowns here that any answer you get out will be more a function of your assumptions than of the data. So if you happen to have the right assumptions, great - but if not, the answer you get will be junk.
Going to trade data is slow, tedious, imperfect and still requires assumptions but it will be 1000x better than anything you can do that doesn’t look at trade data at all.
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If you read my thread on this, this is looking at correlation between delta traded and gamma exposure for a given contract, and trying to estimate OI turnover of the contract, not finding the actual dealer positioning. This is a rough and dirty approach.
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I think @Mephisto731 outlined above quite well that trying to find an actual raw number here (the hedging of a contract C denominated in dollar-delta for instance) is pretty much impossible without massive simplifying assumptions. But this also isn't that.
End of conversation
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