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I am new here so please forgive my basic question.

There are many websites and experts out there that estimate dealer gamma positions, but I don't know what they are doing.

I think I understand the principle of dynamic hedging by market makers, but is it possible to determine whether a dealer is long gamma or short gamma from the option chain and order flow?

One commentary said that since retail generally buys puts and sells calls, they assume the MM position is put selling and call buying. How accurate is it?

Suppose I downloaded static option chain data from the CBOE site. If the combined call and put gamma for a particular price is net positive, can you say that retail is long gamma and MM is short gamma on the other side? Does the option chain not include the dealer's gamma?

I would appreciate it if you could tell me. Please let me thank you in advance!!

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The Hedging Demand and Market Intraday Momentum paper by Baltussen et al may be useful to answer your questions.

Not only retail buys puts and sells calls, mutual funds tend to also write calls and buy put options.

I'm not familiar with the static option chain data from the CBOE site, but OptionMetrics does provide gamma at strike level.

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  • $\begingroup$ I’ll take a look! Thanks! $\endgroup$
    – Suzume
    Commented Mar 27 at 16:28

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