CHEX is an abbreviation that stands for "charm exposure".
Charm in option speak is delta over theta.
Essentially, when institutions buy puts for insurance or cover their equity positions with calls, they leave them on whether they are in the money or not. The market maker positions are against those positions, so what we are really measuring is how much gamma has an impact on the market maker hedging positions.
The results are compelling. In short, we have logarithmic regression equations with statistical significance and R^2 no less than .4, and in higher GEX environments (like now) R^2 at around .7.
The answer to these regression equations are the variance on the mean volatility in that GEX bin. Some of the answers predict these really slow days, which would make for excellent single day butterflies.
When you see little price runs, you can fade them by selling verticals and collecting premiums in high CHEX environments safely.
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