roguetrader
EX HEDGE FUND QUANT || financial math || systematic portfolios || reversion || quant || Discord link: https://t.co/KcL2OIMAJD
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START ROGUETRADER DD THREAD: WEN INTRADAY BOTTOMS COINCIDE WITH SUPPRESSED VOL (27): Within past 6 or so months, Street was rumored to have bought over billions in puts; pushing al...
START ROGUETRADER DD THREAD: Using Dealer/Gamma Flows to Predict Price Direction (10): Dealers create a market by looking to see where they can offset risk in other parts of the ma...
START ROGUETRADER DD THREAD: Dealer Directional Open Interest (DDOI) (13): Used to gauge “true” open interest on option chain strikes. Vital. Measure of whether dealers are net sho...
START ROGUETRADER DD THREAD, CONTINUATION FROM PRIOR FOMC DD (17): Dropped an extensive thread over weekend, regarding market makers’ generally positionings into prior 2022 FOMC me...
START ROGUETRADER DD: ODTE OPTION PROFILES HURTING $SPX VOLATILITY (18): 0DTE as a % of $SPX intraday volume has peaked around 45%. This is essentially a mix of flows from various...
START ROGUETRADER DD THREAD: GEX, VEX, & Option Arbitrage (15): We calculate the Total Gamma Exposure(GEX) for each option’s strike by multiplying each option’s gamma, for all call...
START ROGUETRADER DD THREAD: UPCOMING FED MINUTES (22): Market makers (MMs) serve multiple purposes. A major one, being to provide liquidity to markets. They are the ones taking th...
START ROGUETRADER OPTIONS & CALL DELTA HEDGING DD (30): Recall, delta is rate of change in option price relative to change in the underlying stock. Where, gamma is the rate of chan...
START ROGUETRADER DD: MORE IMPLIED VOL $VIX KNOWLEDGE (19). Focus of thread is how implied vol is intertwining with current $VIX environment, & how one can gain potential alpha/edg...
START ROGUETRADER DD THREAD: 0DTE OPTIONS: Lots of hype regarding how Street is pushing casino like extremes now more than ever. As many institutions/funds are becoming abnormally...
START ROGUETRADER DD: DEALER ALGORITHMIC DELTA HEDGING THRU VEGA/GAMMA. (17) Options have exposure to the underlying asset, interest rates, time, & volatility. These are inputs to...
START ROGUETRADER $VIX / VOLATILY DD THREAD (14): $VIX obviously has not yet ripped to upside as most eagerly anticipated since 2022. Largely due to excess volatility supply. The S...