🦍 🦍 🦍 optimize your stimmy 🍌🍌🍌, $GME gamma squeeze calculator update via /r/wallstreetbets #stocks #wallstreetbets #investing


🦍 🦍 🦍 optimize your stimmy 🍌🍌🍌, $GME gamma squeeze calculator update

The purpose of these posts is to provide tools that enable 🦍 🦍 🦍 to calculate the gamma squeeze effect for themselves.

I've updated the gamma squeeze calculator to include all the option chains until 2023 and removed the 3/5 expired ones, it now contains a total of 2,603 strikes and expiries. I have also added several new parameters to address shortcomings that others had pointed out. If for example you wish to only include strikes that will expire ITM in that week, now you can do it via the filters.

https://preview.redd.it/j8j3fot8nsl61.jpg?width=1120&format=pjpg&auto=webp&s=fbd7f7bfc8658ee73bf64e2ece3c680ec49d5de2

Download Link

https://drive.google.com/file/d/1IcUJUL3f9T3DJrniKBlJts8EQEOBAriy/view?usp=sharing

Takes time to load due to lots of vba calculation, does not contains viruses or malwares

VirusTotal Scans

https://preview.redd.it/91mgdbfcnsl61.jpg?width=1869&format=pjpg&auto=webp&s=cc9ce5f895f2e0bf8c4b3b7c41833466280bf4a9

https://www.virustotal.com/gui/file/45d1f42c66f0fbeb91c4b8a81d7acac884e462fe2dab855b960d70dbcd0b1403/detection

The calculator can be used to simulate several projected delta hedging scenarios under different forecasted prices with the time value as a parameter

https://preview.redd.it/ftfr19bmnsl61.jpg?width=421&format=pjpg&auto=webp&s=8ee056d4fbcd4c95690d429d53c780f719511d29

We see from the cover that even using very conservative parameters, MMs are holding close to 20% of the float just to delta hedge, which might partly explain the high float percentage owned by institutions as displayed on Bloomberg's terminal.

Now 🦍 🦍 🦍 only have limited amount of 🍌🍌🍌, 🦍 🦍 🦍 need to ensure each 🍌 is used for maximum effect. Based on the calculator's BSM modeling, the best delta/price ratio in the options chain across all expiries would be

https://preview.redd.it/7f1mifkqnsl61.jpg?width=1514&format=pjpg&auto=webp&s=c0b071e11c59970d61a5b84efe8e4cde2a28c3c1

The 3/12 270C, if apes were to buy one contract, 3.04 x 100 = $304, then MMs would need to hedge 0.137x100x137.74 = $1882 worth of shares to remain delta neutral

Giving an amplification factor of

1 🍌 -> 6 🍌

OTM calls like these might be fine for YOLO-ers 🦍 , but carry very high risk of 🦍 loosing all 🍌, if 3/12 closing price ends below 270. A safer way for 🦍, would probably be ITM calls, somewhere around the 100-110C strike price

https://preview.redd.it/nsheej6tnsl61.jpg?width=1517&format=pjpg&auto=webp&s=9ebb4ab3f305e9d3e940c030ca1229592e2fce75

This would still gives 1 🍌 -> 3 🍌 in delta hedge amplification

The profit / loss for 🦍🦍🦍 would be

https://preview.redd.it/rbgtyh85osl61.jpg?width=421&format=pjpg&auto=webp&s=ad69aea9b0da22fda291cb21156cefba9bda245d

Suppose $GME on 3/12 does close above 151, what should 🦍 do next ? Best would be to exercise those calls, but most 🦍🦍🦍 are poor(because they are 🦍🦍🦍) and don't have enough powder to exercise calls. The next best thing would be to rollover those calls, selling 🦍's calls that are expiring and buying the next week's ITM calls at higher strike, further propagating the gamma squeeze. Here's a graphical illustration of the process

https://preview.redd.it/4tvci7b7osl61.jpg?width=1280&format=pjpg&auto=webp&s=16ac2e20103057ca7421be70b341850cef7bc34d

this way, 🦍 ape can ensure 🍌 is used to maximum effect, without taking on too much risk while also mitigating the shorts attacks.

🦍🦍🦍 path to victory is almost ensured, but 🦍 should be aware that 🦍 is not in the final stage yet, 🦍 still needs to go through MMs first before showdown with πŸŠπŸ‘‘ in WallStreet. MMs are cold blooded amphibian species that likes to dwell in polluted bodies of water, thus most can be found alongside the Chicago river in Wacker drive. The following map shows path to infinite 🍌🍌🍌

https://preview.redd.it/7hc1j48dosl61.jpg?width=1293&format=pjpg&auto=webp&s=8e792ecfe8d5dcd35f7ce9aa4f742a32de431413

TL;DR 🦍🦍🦍 🀲 πŸ’ͺ, 🦍🦍🦍 🀲 + πŸ“Š = πŸ‘¨β€πŸš€πŸš€πŸŒ•πŸ’°πŸ¦

Technical Notes:

– Update options data from Barchart https://www.barchart.com/stocks/quotes/GME/options (Click download)

– The Macro function delta results compared with OptionMatrix's BSM PolyApprox6 method is 0.809 vs 0.82, ie accuracy within +/-1.5%

– Yes nerd apes, I could have used American options model like Am Pepetual, Barone-Adhesi Whaley or discreet models like Trinomial Tree, but its difficult to get delta from those and it would totally kill excel to calculate >2000 options chain. Furthermore posting a win32 c binary instead of an excel macro in wsb would probably cause the mods to go ape shit.

Submitted March 08, 2021 at 01:10PM by indonesian_activist
via reddit https://ift.tt/3bos0cu

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