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I'm a big fan of measures like this as they're "forward looking" in the sense there is positional response to the levels themselves rather than arbitrary support/resistance thresholds from some sort of parametric model. Haven't done much formal QR work with them but would be keen to develop some prob/stats on a backtesting/walkforward basis to establish a better idea of the expected response (and deviations from expectation) around each level.
TL;DR - I'm a fan
TL;DR - I'm a fan
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I’d say it passes the eye test, showing some form of IC to the instrument traded (at least for index funds). I actually do know of this one trader that designed an entire system that uses GEX levels and market breadth divergence to signal trades, no idea on what his results were though.
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In itself, GEX is interesting as it is a way to interpret available data; why not make use of it!
BUT I feel like the assumptions behind GEX trading can be a bit ludicrous, or completely ignored by trading gurus.
1) We don't know the actual position of the market maker; they can be either net long or net short (or net 0!).
2) A market maker could hedge himself in other ways than listed underlying (OTC? Across chain? Cross delta?). We don't know his moves.
TL;DR - I may be a hater 🥲
BUT I feel like the assumptions behind GEX trading can be a bit ludicrous, or completely ignored by trading gurus.
1) We don't know the actual position of the market maker; they can be either net long or net short (or net 0!).
2) A market maker could hedge himself in other ways than listed underlying (OTC? Across chain? Cross delta?). We don't know his moves.
TL;DR - I may be a hater 🥲
Reply