macrocephalopod

I would split the problem in 2 parts - 1.estimating dealer(delta hedged) positioning and 2. predicting performance of options given the positioning. 2. is pretty pretty good grounding, ad can even be modelled (Loepr). 1. is super hard

1. is a fool's errand. Statistics works a lot better here in my biased opinion.

What makes you say that? I haven’t implemented the method in the recent-ish @HauVolatility report but it seems a priori plausible, and the only good test of whether the effect everyone says exists really does exist.

Confess need to re-read Hau's work, but when I pinged, my understanding is it mostly looks to understand whether OI is bought/sold, no? Not the actual dealer net Greek exposure.

Tracking inside the OI--probabilistically assigning buys / sells / tied orders / etc-- to see where residual risk lies on a market maker's book who chooses to hedge delta is one in the same as tracking net greek exposure (just calc the greeks for the inventory assignments!).

Well, it’s the same if you assume spread-payers don’t hedge deltas and spread-receivers do.

When I traded options (hedge fund) we would try to get passive fills first and succeed a good proportion of the time, got to assume pensions, endowments etc are at least trying to do the same.

Our trade flagging system doesn't rely on a spread cross. We will still flag a passive order that fills inside of the spread directionally - this is why we added the vol surface model - so we don't always rely on the order book to label directional open interest.