Oh god, the replies to that tweet are a greatest hits of fintwit’s worst takes. Passive inflows, dealer hedging, negative gamma exposure, positive gamma exposure, vanna/charm, “the algos”, front running... please give me a second while I claw out my goddamn eyes.https://twitter.com/swiss_quant/status/1368114339094425602 …
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Some of those might be a partial answer? Most of them are either irrelevant, too small to matter, would act in the wrong direction, or flat out contradict each other. No attempt made to explain the mechanism or size of the effect, just screaming stupid buzzwords into the void.
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