About Gamma Trading

“It all started with a research paper published by @SqueezeMetrics exposing the effect of Options Order Flow in traditional financial markets, how to calculate it, and what kind of decision one could take from it.”

Research Papers:

• squeezemetrics, the firm which popularised the topic in 2017

  2017 https://squeezemetrics.com/monitor/download/pdf/The_Implied_Order_Book.pdf

  2017 https://squeezemetrics.com/monitor/download/pdf/white_paper.pdf

• Virtual Barrels, Ilia Bouchouev, I like this guy’s explanations

  2025: https://www.oxfordenergy.org/wpcms/wp-content/uploads/2025/01/Energy-Quantamentals-The-Revival-of-the-Volatility-Risk-Premium.pdf

  2023: chapter9 - Quantitative Trading in the Oil Market - Ilia Bouchouev

  2021:https://www.tandfonline.com/doi/full/10.1080/14697688.2022.2066322

• “pan e poenta”, practical and easy to understand

  2021: https://the-kingfisher.medium.com/kf-gex-gamma-vanna-exposure-and-iv-e919bbfdeb95