CrossVol Research, 3 kitaptan 1. kitap · Yayınlandı
A four-lens framework for options traders who see what standard GEX misses.
Gamma Exposure (GEX), the metric most retail dashboards sell, is one lens on a four-lens problem: it works in stationary regimes and points the wrong way in the regimes that move markets, such as sovereign crises, physical squeezes, carry unwinds and central-bank floors. The book sets out the four lenses read on a derivatives desk every day: Gamma Exposure, Vega Exposure, the 25-delta risk reversal, and the term structure read together with physical signals such as lease rates, inventories and calendar spreads. It dissects the public, time-stamped calls made before five major dislocations, from the VIX spike of 5 August 2024 to the silver crash of January 2026, and adds a weekly workflow, position sizing with a Bayesian Kelly rule and a Python skeleton for the Greeks and the 25-delta risk reversal.
Hedef okuyucular. For options traders, market-makers, and structured products desks that already use GEX and have hit its limits.
Beyond Dealer Gamma: A Four-Lens Framework for Reading Options Market Dislocations
MPRA 129365 · DOI 10.5281/zenodo.20509786
Atıf yapanlar HarbourFront Quant (Nam Nguyen, Ph.D.), .