SqueezeMetrics Dark Pools Indicator for ThinkorSwim

[griftingthrulife]

I am interested in learning about his trading methodology, but not much info available as far as I can find.

It's powerful stuff. To start you might download Squeezemetric's whitepaper on GEX. Also start here:

https://squeezemetrics.com/monitor/docs

All this is to say, after 2 years of research, including dusting off my math degree from 25 years ago, and reading as much Quant stuff as I can find, Gamma Exposure is the stat that moves the market. Every major MM and Fund out there Dynamically or Statically hedges their Delta at market open and market close each and every day.

 

[griftingthrulife]

I am interested in learning About his trading methodology, but not much info available as far as I can find.

The concepts are Gamma Exposure (GEX): a combo of Gamma Flip, Gamma P&L, and Gamma Volatility as relating to Static or Dynamic Delta Hedging (and highest open interest on the option chains). This is where the DarkPools ALL swim and eat.

The colored lines above represent: Gamma Flip - Red & Green w/yellow, Gamma P&L (Cyan) and Gamma volatility (Plum). You'll notice those levels are usually the hard stops on price reversals (not anything else, not breakout, not VWAP, not moving averages etc.)

Market makers try to keep Delta neutral throughout each week, balanced at market open and market close. They hedge using futures and inverse indexes, plus buying and selling premium on option chains as the Gamma is the most important stat as option chain weeklies near expiration Friday.

Market structure is setup each week, each month, each quarter. This has to do with money managers needing to fill quotas and their bonuses come end of quarter/end of year. MMs like to sell volatility as a means to generate additional cash flow, as well as selling premium on options (calls and puts). This is all based on heavy duty Quant research done by PhDs at major universities CalTech, Yale, Oxford, Penn, and many many others.

The daily volatility is measured as a variance from the past, calculated in 5m intervals or 30m intervals and re-arranged at market open and close usually every day, and certainly on Fridays/Mondays.

I have found it's best to trade stocks that have great Gamma profiles through lots of dynamic hedging, highly liquid, good spreads, good volatility with low-medium IV (20%-50%).

 

[Brave_Toastr]

The concepts are Gamma Exposure (GEX): a combo of Gamma Flip, Gamma P&L, and Gamma Volatility as relating to Static or Dynamic Delta Hedging (and highest open interest on the option chains). This is where the DarkPools ALL swim and eat.

Would you be able to share the GEXV3 upper study?

 

[griftingthrulife]

Would you be able to share the GEXV3 upper study?

My partner and I put this together over 2 years worth of research and I coded it. We've started a prop fund. I can't share the indicator with the public. But if you have a desire to learn about how Gamma really moves the markets, I can share my insights with you provided you supply any questions you have.

 

[Moonlight Trader]

I have never added my own script to TOS before and need some help. I downloaded the info from squeeze metrics (spreadsheet) and download your spreadsheet.

1. How do I smash/combine the spreadsheets appropriately?
2. Then copy everything and paste into a new custom strategy?

Thanks!

 

[randomx]

I have never added my own script to TOS before and need some help. I downloaded the info from squeeze metrics (spreadsheet) and download your spreadsheet.

1. How do I smash/combine the spreadsheets appropriately?
2. Then copy everything and paste into a new custom strategy?

Thanks!

do a search in this forum. i saw somebody else do it. i use myself. the trick is download the csv file somewhere, copy paste the values into the script, modify the range date on thinkorswim. it does work and yes, it is within the scope of this forum as it has been done before with a script

 

[randomx]

My partner and I put this together over 2 years worth of research and I coded it. We've started a prop fund. I can't share the indicator with the public. But if you have a desire to learn about how Gamma really moves the markets, I can share my insights with you provided you supply any questions you have.

could you please provide a clear example with a vanilla symbol? let's say the SPY. showing the gamma values when to enter, when not to enter, when to exit, when to hedge

 

[Pepsi562]

There hasn't been this much dark pool buying since after the Covid crash. Evidently, the Fed put the word out that equities are "protected." Not even inflation, commodity prices, Biden and Putin can bring this market down...

 

[wtf_dude]

There hasn't been this much dark pool buying since after the Covid crash. Evidently, the Fed put the word out that equities are "protected." Not even inflation, commodity prices, Biden and Putin can bring this market down...

Protected according to who? The majority of the Nasdaq is down 30% or more over the last few months

 

[Pepsi562]

Protected according to who? The majority of the Nasdaq is down 30% or more over the last few months

The only charts that matter are the indices. There has been NO technical damage to the NQ, ES or YM. When the QQQs are at 167 you can complain about a real correction. BTW, the only individual stocks that matter are megacaps like AAPL, GOOG, AMZN & MSFT. And, technically, they are still in fine shape! The point is that the DIX has shown very solid buying, diverging from the lousy price action of late. Not surprisingly, the last three sessions have proven that the dark money was right again. Don't be fooled, free markets are dead and you have to trade accordingly.

 

[Thomas]

Protected according to who? The majority of the Nasdaq is down 30% or more over the last few months

Doesn't mean it's finished a move lower either 2000 saw AMZN -95%, but hey guy, jump in there on a relief rally......

 

[Trading51]

Hello

Heello Cloud 9 can you please share which symbol indicators you are talking about?
Can you please share// Thnk~

Hello, Do I need to change data or anything in this code for the DIX and GEX to be updated?

 

[griftingthrulife]

could you please provide a clear example with a vanilla symbol? let's say the SPY. showing the gamma values when to enter, when not to enter, when to exit, when to hedge

It's all calculated by Squeezemetrics formulas. There is a high value and a low value for each aggregation period. If you can figure out that you CAN plot that you can have it show on the chart. The other way to do it is use a spreadsheet and TOS export info from the chains.
See below for spreadsheet examples and Pivot Tables:

https://perfiliev.co.uk/market-commentary/how-to-calculate-gamma-exposure-and-zero-gamma-level/

 

[rlove1221]

https://imgur.com/a/5LCrFNh

Hello, I set 3 years Daily from 10/18/99-10/17/2022 ,755 bars , but it only plots unto Jan 2022 . Any ideas what could be the issue ? Thanks !!

 

[strehsum]

https://imgur.com/a/5LCrFNh

Hello, I set 3 years Daily from 10/18/99-10/17/2022 ,755 bars , but it only plots unto Jan 2022 . Any ideas what could be the issue ? Thanks !!

Could you share your data?

 

[rlove1221]

Could you share your data?

I realized DIX hasn't dropped below the .39 that's why its still showing in a 'buy' . Im not sure if the numbers of .45 & .39 to determine buy/sell are still accurate since the scripts been out.