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Brainstorming this afternoon.

GEX is the gamma exposure index (https://squeezemetrics.com/monitor/static/guide.pdf). It's the sum of gamma exposure for call and put. Using IV, strike and BDS you can sum gamma for call and put to get an gamma exposure chart as spotgamma do : https://spotgamma.com/free-tools/spx-gamma-exposure/ enter image description here There is a link between gamma dealer exposure and realized volatility. So if you know gex value you can get volatility (using historical chart with gex and return).

So my question is : how to build a model to get "implied move" in Y axis and price in X axis ? enter image description here enter image description here

I know spotgamma and squeeze metrics did it, so it may be possible ! Thanks !!!!

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  • $\begingroup$ Can you be a bit more specific? What do you want to model? The “Implied move” of what wrt to what variables? $\endgroup$
    – Mercadian
    Commented Aug 29, 2022 at 0:00
  • $\begingroup$ Yes ! I have return = f(GEX) (First pic). I have also gamma = f(price) (gamma exposure) second link. I want to get GIV Mad = f(price). GIV mad is giv *sqrt(1/252)*sqrt(2/pi). GIV is Given as a standard as it’s shown. Giv mad is « implied move. $\endgroup$
    – Sebastien Wdowiak
    Commented Aug 29, 2022 at 5:14
  • $\begingroup$ I think that i can get gex=f(price) from gamma exposure : gex is gamma call * oi call - gamma put * oi put for a strike. I calculate gamma and oi is given in option chain $\endgroup$
    – Sebastien Wdowiak
    Commented Aug 29, 2022 at 5:20

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