I wonder if this would generalize without the market participant being known i.e just looking at OVI overall. Given the paper didn't explore that, makes me think it won't. Also, explains why PHOTO and NOTO are such expensive datasets.
Without granular data set like PHOTO and NOTO, I think it's very hard to perform this kind of analysis. But look at spot gamma nevertheless. They claimed that they can calculate dealers' gamma using less granular data. I'm sceptical and have not looked at it yet.
High quality stuff. I really enjoy seeing research on predictive features like this.
Thank you !!!
This was very insightful. Thanks!
I wonder if this would generalize without the market participant being known i.e just looking at OVI overall. Given the paper didn't explore that, makes me think it won't. Also, explains why PHOTO and NOTO are such expensive datasets.
Without granular data set like PHOTO and NOTO, I think it's very hard to perform this kind of analysis. But look at spot gamma nevertheless. They claimed that they can calculate dealers' gamma using less granular data. I'm sceptical and have not looked at it yet.