The Implied Order Book, GEX, and how markets crash скачать в хорошем качестве

The Implied Order Book, GEX, and how markets crash

This is a presentation of two papers by SqueezeMetrics, 1.)Gamma Exposure (GEX) from 2017, and 2.) The Implied Order Book from 2020. (links below) 0:00 Intro 5:15 VIX vs GEX 7:20 Dynamic hedging 9:36 GEX Computation 11:12 Market impact of GEX 12:11 Limitations 12:44 The Implied Order Book 14:19 The impact of an ATM put 19:57 Change in delta - Gamma, Vanna, Charm 23:47 Measure changes in delta with python 25:39 GEX vs SPX 2004-2020 29:28 How IV takes liquidity 32:55 IV cheat sheet 35:55 VEX vs SPX 2004-2020 37:31 GEX+ vs SPX 2004-2020 38:40 Conditional liquidity (map of the order book) 40:50 Gamma Implied Volatility (GIV) 42:31 Why long puts don't crash the market 43:36 The feedback loop that crashes the market 45:50 SPX ratio of puts bought to sold 2004-2020 Links to papers: https://squeezemetrics.com/download/w... https://squeezemetrics.com/download/T... https://squeezemetrics.com/monitor/st... #SP500 #SPX #GEX #ES #Futures #FuturesTrading #Gamma #Options #OptionsTrading #GammaExposure #DayTrading #Investing #StockMarket #Stocks #SqueezeMetrics #Bookmap #Liquidity