So a large gap down on Sunday night could get very interesting.
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yessir
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Spot, appreciate your work! I've followed whatever I can find for "gamma flip". Is there an accounting for differences in gamma between your approach, sqzme, Nomura, etc.? One might show 1.6b/1%, another already negative. Just learning here.
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Nomura combines spx/spy for one. Don’t think me or sqz does that. Then there are differences in snap px, options model etc. so lots of inputs can reach differ because there is no standard.
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Great analysis, am considering subscribing, but before clicking just 1 question about methodology: For OTM calls I understand you assume clients are selling, and thus MMs are long gamma. But for ITM calls, you seem to assume clients buying. Is this true? Why?
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