2.5.9 Skew Adjusted Gamma Exposure
Skew Adjusted Gamma Exposure (GEX-SA) uses volatility smile skew to estimate the long demand for options contracts and derives the total market maker gamma exposure from this estimate.
Skew Adjusted Gamma Exposure (GEX-SA) uses volatility smile skew to estimate the long demand for options contracts and derives the total market maker gamma exposure from this estimate.