1
$\begingroup$

I came across a term 'gamma-weighted SOIR' several times recently. it seem like an old term on gamma imbalance. could someone care to explain what this is and the rationale behind it?

$\endgroup$
2
  • $\begingroup$ People have compared open interest in puts to open interest in calls for a long time, probably since option markets have existed in the first place. What Mr. Schaeffer added with his SOIR is the idea of weighting the OI of different options by the gamma of the option, on the idea that options closer to the strike (in time and price) are the more relevant ones. A plausible but unproven idea AFAIAC. $\endgroup$
    – Alex C
    Jul 15, 2017 at 14:16
  • $\begingroup$ A link to Mr. Schaeffer's web site (no endorsement or recommendation implied) schaeffersresearch.com/content/education/2015/07/23/… $\endgroup$
    – Alex C
    Jul 15, 2017 at 15:33

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.