Trading Guided by Gamma, Brent Kochuba, founder of SpotGamma, Raleigh Durham Traders Meetup 20220926
Автор: Raleigh Durham Open Systematic Options Trading Strategies
Загружено: 2022-09-27
Просмотров: 399
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Brent Kochuba, founder of SpotGamma, outlined his market analysis framework based on characterizing the overall market (or individual stocks) as long or short gamma exposure. To do so, he looks at the aggregate gamma of market maker positions in every strike, and then aggregates those overall. He showed evidence that positive gamma exposure conditions lead more to a narrow range, while negative gamma exposure lends itself more toward directional trading. He also showed the importance of dealer positioning in market moves following important news events, and of volatility factors, and reviewed markets over the last few years in this framework.
Thanks to Aeromir.com for hosting the meeting online.
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