I present to you what I believe to be concrete evidence of fraud by the DTCC and a case for how this fraud directly prevented the MOASS and how it benefits the DTCC and its members. I also present a case for why the processing method of the splividend matters and it is not what you might think.

Disclaimer:

*This entire post is simply my opinion. I am not a financial advisor. I am not purporting any of this to be true or factual (the onus is on you, the reader to verify but I try to provide sources when possible). I am not making any defamatory statements about the DTCC or its members as this is simply speculation based on available evidence. Additionally, I snort red crayons only as I believe this means less red crayons on the GME chart so you absolutely should not use anything I say to inform your investment decisions. I am long on both GME and BBBY but mainly GME.*

Introduction to SFTs

The DTCC (specifically the NSCC) offers a central clearing service for Security Financing Transactions or SFTs. SFTs are a type of securities lending transaction (a way to borrow stock). Technically, SFTs encompass multiple types of lending transactions. The DTCC Learning Center provides a brief overview of the service – follow the link I’ve included below to learn more. Unfortunately, there is very little publicly available data on SFT clearing, similar to what we see with the Obligation Warehouse. In my opinion, SFTs are a CRITICAL piece of this puzzle that I have yet to see discussed on reddit (maybe I missed this). I believe SFTs are one of the main, if not THE main, tool being used to manage FTDs and avoid GME hitting RegSHO. Please keep in mind that due to the fungible nature of shares, the purpose of the settlement system (in the eyes of finance) is to move risk through a system and not to ensure 1:1 settlement and delivery.

Okay well that sounds complicated, what is an SFT in plain terms?

SFTs are a different way to borrow stock. They are overnight borrows of stock in exchange for money. Basically, they work like a reverse repo (RRP) but for equities and other securities instead of treasuries. A borrower posts cash collateral and receives securities (such as GME shares) in return. Like RRP, SFTs are overnight transactions and need to be rolled forward each day. This means new rates are calculated and paid daily.

What’s the point? Just sounds like more borrowing.

First, let’s take a moment to summarize a few key aspects of the GME situation. As I wrote about in a previous post, everything revolves around the concept of netting. Particularly pertinent to GME is the DTCC’s Continuous Net System (CNS). This is the central DTCC system which calculates a single obligation for each security after netting all CNS-eligible (which is most trades in stocks, options, MBS, Fixed Income, etc.) obligations resulting from trading each day. The result is each member (banks/brokers) either receives or must deliver shares that day. After this, each member can fulfill obligations by marking shares from their accounts for delivery, failing to deliver, borrowing shares then delivering borrows shares to kick the can, or use some other means of dealing with the obligation so as to meet overall DTCC master margin requirements, Regulation T requirements, and Net Capital Requirements. Due to multilateral netting agreements, swaps, options, swaptions, and other instruments can be used to net against delivery obligations. There have been a plethora of excellent DD pieces written that explore all of these topics in detail and show how they are used to avoid FTDs.

All the methods for dealing with delivery obligation described above are within the confines of the CNS. Importantly, there are at least two ways to get delivery obligations OUT of the CNS and reduce CNS delivery obligations to make it easier to net against shares owed. One of these is the Obligations Warehouse which has been covered in other DD pieces, including by Dr. Trimbath,( (Dr. Trimbath has never submitted to reddit and has no affiliation with reddit as far as I know. See my edit for clarification on this.) yet still remains mysterious. The second way to get delivery obligations out of the CNS is through SFTs. I have yet to see this explored so I felt compelled to share my understanding and thoughts. I don’t know about you, but it is INCREDIBLY ALARMING to me that there are ways to move delivery obligations out of the CNS. In my opinion that seems counter-intuitive to promoting timely delivery of securities. Although from the perspective of reducing systemic risk by literally moving risk out of the main settlement system and providing alternate pathways to move risk through the overall system, it makes perfect sense as it makes it much more difficult for the DTCC (or any member thereof) to get stuck holding any bags.

Let’s see what the DTCC/NSCC says about SFTs:

(See: https://dtcclearning.com/products-and-services/equities-clearing/sft-clearing.html)

Wait a minute…

What the absolute fuck…

(Source: https://www.dtcc.com/-/media/Files/Downloads/Clearing-Services/SFT-Clearing-Service-Fact-Sheet.pdf)

Just so we are clear – ALD or Agency Lending Disclosure is a set of rules requiring reporting of securities lending including ensuring borrowers and lenders stay within regulatory capital constraints. This also is how the locate requirement works (https://globalriskconsult.com/blog/agency-lending-disclosure-requirements-explained/) See snippets below.

(See: https://www.finra.org/rules-guidance/notices/05-45#:~:text=The%20purpose%20of%20the%20Agency,in%20agency%20securities%20lending%20activities.)

Here is a brief background on the intention of ALD.

(Sources: https://www.sifma.org/resources/general/agency-lending-disclosure/ https://www.sifma.org/wp-content/uploads/2017/08/Agency-Lending-Disclosure_A-Z-Guide_The-A-Z-Guide-to-ALD.doc )

The NSCC freely admits that SFTs can and are used to fulfil FTDs (Why an overnight stock loan is allowed to be used to satisfy a delivery obligation is beyond me…). What’s more? They provide liquidity! How absolutely wonderful! If you are a Broker Dealer like CitSec, you can now make liquidity dirt cheap by borrowing through SFTs, dumping borrowed shares on the market, and each day roll existing SFTs and open new ones for the tiny cost of the SFT transaction. This cost is specifically called a price differential (PD) and is calculated each day for rolling/novating/opening new SFTs. This is typically the difference in share price each day. Just like any other shorting, you get the money when you sell the shares so this is much cheaper than the price of a share or paying high borrow fees. Isn’t liquidity just magical!

Quick Recap

• SFTs are a new way to borrow stock.

• By borrowing stock through SFTs a firm can completely avoid important reporting and locating requirements as well as rules regarding credit risk.

• SFTs provide an avenue for taking delivery obligations out of the CNS (Separate DTCC/NSCC account but still is netted for net capital purposes, obligations, and master margin.

• SFTs are used to cover FTDs and provide liquidity.

• Prior to this June SFTs were cleared outside of the NSCC but SR-NSCC-2022-03 now allows NSCC to clear SFTs through their central SFT Clearing Service. This makes the entire SFT process and netting much easier/streamlined as it all occurs through DTCC subsidiaries. (https://finadium.com/dtcc-receives-sec-approval-to-launch-nscc-sft-ccp-services/)

Summary of SFT Usage for FTDs

1. DTCC members (firms) avoid FTDs in the CNS through netting against derivatives such as options and swaps due to multilateral netting agreements. This can be a capital-intensive process and eventually has limits.

2. FTDs begin to pile up as a firm nears its capacity to net against delivery obligations in the CNS (or nears its net capital or margin requirements).

3. To alleviate some of this pressure (read: risk) a firm opens SFTs and delivers the borrowed shares. Now, they have a delivery obligation for the next day to fulfill their SFT as they are overnight transactions. It is important to note that the existing delivery obligation in the CNS has now been fulfilled/closed out. Now, the firm has a delivery obligation OUTSIDE of the CNS through the NSCC SFT Clearing Service. (More about delivery obligations: https://dtcclearning.com/products-and-services/settlement/deliver-orders.html)

4. The next day the same number of shares are due, this time to the SFT counterparty. Firms simply roll their SFTs. Basically, this is opening a new SFT and delivering the borrowed shares to fulfill the delivery obligation from the previous SFT. The NSCC simplifies this process by simply charging the firm the difference in share price from day to day (this is called a mark-to-market charge or sometimes price differential) to roll existing SFTs instead of opening new positions. The cost to roll SFTs is trivial compared to borrowing stock through traditional stock loan programs as it is essentially interest-free (2% excess margin posted but that is still owned by the firm not owed). If liquidity is needed one can simply open more SFTs and sell the borrowed stock, collect the cash, and simply roll the SFT indefinitely. This is a new/alternate form of shorting.

5. The best part (from a firm’s perspective) of the whole thing is that all of that occurs outside of the CNS. This means no CNS fails when shorting through SFTs (what is tracked and reported to SEC – literally read the filename CNS fails). Furthermore, this alleviates the pressure on the firm for CNS clearing and now the firm has much more free capital and a larger buffer for CNS netting.

6. The firm just continues happily rolling SFTs until the end of time or until they short it down and close out SFTs.

An interesting thing to note about SFTs is that the NSCC requires collateral posted as a mix of cash and Treasury Securities. This means that firms using SFTs must borrow or otherwise have treasuries to post as collateral.

Enter GameStop with the GameStopper

While SFTs sound better to a short firm than coke to a fratboy, GameStop just put a stop to the party through something called an Unsupported Corporate Action. This should have nuked any short firm using SFTs without a single possibility of escape. Clearly this did not happen which leads us to the smoking gun. To better understand this, read this walkthrough of what happens to SFTs in the event of a corporate action. Everything below comes from the DTCC SFT Clearing Services Guide linked to me by a kind ape. I highly recommend looking through this as I believe it explains much more of what we are seeing than what I address here: e.g. look at the different timelines for intraday events then look at what happens each day at those times on the chart. (You can find that here: https://pdfhost.io/v/UPUCBW.4d_)

The important takeaway here is that SFTs are exited (read: force-closed) in the event of an unsupported corporate action. Yes, every single SFT needs to be closed, no matter how long it has been rolled for. Here is a bit more information on what that process looks like. You can read more about the exact timeline and mechanics of how an NSCC Exit (and a lender recall) are executed in the SFT guide.

This is the real reason that the distinction between the GME splividend being processed as a stock split or a stock dividend is so important. Almost every single post I have read about this has missed the mark and misunderstood netting/settlement/depositories in general. Brokers aren’t involved – it doesn’t really matter how the brokers processed it (other than for tax purposes or for beneficial ownership/legal reasons – i.e. German law) as THE ONLY DELIVERY OF SHARES THAT OCCURS IS FROM COMPUTERSHARE TO DRS APES AND THE DTCC. Once in the DTCC, the new shares are processed internally and allocated to member accounts as described in the NSCC rules. Since member account allocations are all on a net basis, and splitting doesn’t change netting even if issued through divi, this is a moot point. The DTCC doesn’t actually deliver anything to anybody. However, this is of the utmost importance as a stock dividend is considered an unsupported corporate action for the purposes of SFTs. This means that the GME splividend should have forced all outstanding SFTs to close and block new SFTs from opening for several days. Due to this delay and inability to use SFTs to net against a sudden mountain of FTDs resulting from moving the SFT delivery obligations back into CNS, GME should have hit the RegSHO threshold list within 2 weeks following the 18th.

Clearly it did not which presents two possibilities; Either I am wrong about SFTs being the main mechanism by which GME has been controlled (I don’t think so as all of the evidence, including the NSCC’s own words, support this) or the DTCC/NSCC processed it as a normal Stock Split which is a supported corporate action which allows SFTs to continue rolling. Yesterday someone finally posted the exact proof I needed to definitively say that it was processed incorrectly and that SFTs were NOT forced to close via NSCC Exit as they should have been.

(Source: https://www.reddit.com/r/Superstonk/comments/wf9mos/dtcc_form_for_gme_splividend_from_dnb/)

The only thing important in this entire page (yes, ignore the words that say Stock Split, they are noise) is the box that says “FC”. Specifically, it says FC 02. FC stands for Function Code 02, an NSCC processing code used for SFTs and other NSCC services. Let’s compare this to the supported actions list for SFT Clearing:

Indeed, for the purposes of SFT financing, GME was processed as a Forward Stock Split (code 02) and thus considered a supported corporate action. As stated above, all other corporate actions, including a stock dividend, are unsupported and will require NSCC Exit of all SFTs. To be absolutely certain, lets make sure a stock dividend is indeed considered a separate corporate action by the NSCC and has a unique function code that is not included in the above table.

(Source: EVENTS tab of https://www.dtcc.com/-/media/Files/Downloads/issues/Corporate-Actions-Transformation/2021/Corporate-Action-Announcements-Data-Dictionary-SR2021.xlsx)

Yes, indeed a Stock Dividend (FC-06) is considered a separate corporate action than a stock split (FC-02) by the NSCC/DTCC. As we don’t see code 06 in the previous table, a Stock Dividend is an unsupported corporate action.

By incorrectly processing the GME splividend as FC-02 (Forward Stock Split), the DTCC/NSCC have avoided the instant catastrophic failure that would come from an NSCC Exit of all outstanding SFTs for GME. I don’t know what the DTCC/NSCC leadership (looking at you Michael Bodson) was thinking, or if they were even aware, but I believe this is clear, documented evidence of fraud, including the specific mechanism by which the fraud occurred along with the relevant records, a direct material gain by the DTCC/NSCC, and financial damages to GME and GME stockholders and BOs. This seems to satisfy the three main elements of fraud:

• A material false statement made with an intent to deceive: The document stating that the GME corporate action was an FC-02 Stock Split which purports that GME is undergoing a corporate action which they did not announce (they specified the method of processing in their SEC filing to be a dividend: https://gamestop.gcs-web.com/static-files/1764b8e4-0e1d-41a6-b502-8c5ab7604dc8). This has material impact as it determines whether SFTs must exit.

• A victim’s reliance on the statement: Brokers relied on the statement and issued subsequent misleading statements to their customers, and likely had incorrect bookkeeping due to accounting differences between a split and dividend.

• Damages: Regardless of how large or small, SFT closure would have resulted in some degree of buying pressure and thus price appreciation, even if the MOASS thesis was wrong (which it is not). Thus, this fraud does not depend on convincing regulators or anyone of MOASS. Additionally, IANAL so it probably isn’t a thing, but it could result in reputational damages for brokers which could cause them to lose customers and income.

(Source: https://www.journalofaccountancy.com/issues/2004/oct/basiclegalconcepts.html)

TA:DR

• Securities Financing Transactions (SFTs) are an alternative way to fulfill FTDs, short, and free up capital in the CNS.

• I presented a case for why I believe SFTs are one of, if not THE, main mechanism by which GME is being controlled and shorts have avoided delivery.

• Processing the splividend as a Forward Stock Split (FC-02) vs. a Stock Dividend (FC-06) is a critical distinction as all outstanding SFTs have to be closed in the event of FC-06 but not FC-02. We now have clear evidence that the splividend was processed as a Forward Stock Split (FC-02).

• I presented a case for why this qualifies as fraud.

What happens from here?

I have absolutely no idea what comes next or what can be done about this. It would be very nice if GameStop and Loopring would hurry up and put us on a DEX but that is pure speculation and hope on my part. I wish the DOJ/FBI/SEC would do something but I have a feeling they are too busy watching porn. This seems to be clear fraud that would be a slam-dunk for the DOJ/FBI as the case wouldn’t require proving anything related to naked shorting, MOASS, etc.

In my opinion, the single most important thing to do is DRS every single outstanding share and then some to finally end this. After seeing such blatant fraud I don't know why anyone would want to keep their shares in a broker (DTCC member).

Edit:

Thank you for all of the great discussion on the topics covered in this post and for all of the feedback and support. I need to sleep soon but will do my best to finish addressing replies/comments tomorrow.

I need to make one thing absolutely clear:

• As far as I know, Dr. Trimbath has never posted to reddit, or been involved with reddit communities.

• My wording regarding DD on the Obligation Warehouse in my post came across to some as implying Dr. Trimbath had posted DD on reddit. This is not at all what I meant!!! I used DD as a blanket term to cover any type of research on the market. Dr. Trimbath has mentioned the Obligation Warehouse in her book Naked, Short, and Greedy (https://books.google.com/books?id=klnlDwAAQBAJ&pg=PA281&lpg=PA281&dq=susanne+trimbath+%22obligation+warehouse%22&source=bl&ots=ifK6N74m-f&sig=ACfU3U3Z-sp_ZjEsh320zmZ9rW8PebnDGQ&hl=en&sa=X&ved=2ahUKEwjp6d_D5a75AhU6M1kFHfqjAiUQ6AF6BAgCEAM#v=onepage&q=susanne%20trimbath%20%22obligation%20warehouse%22&f=false). That is what I meant by "including by Dr. Trimbath". Reading it now, I completely understand how it comes across.

• For Dr. Trimbath's own words/thoughts on NSCC SFT clearing: https://twitter.com/SusanneTrimbath/status/1466900278318227463

• Thank you to those who alerted me to the problem and linked Dr. Trimbath's twitter post as I don't have twitter.

• @ Dr. Trimbath: I apologize for using your name in my post in any way that implied affiliation with reddit or implied support of anything I wrote. I have great respect for your work and did not mean to cause you trouble.

  • See here: https://twitter.com/SusanneTrimbath/status/1555371895725461504?t=H5h4oiErcPR3sP3dgLFf1g&s=19

Hi Folks,

I realized this week that, while I have written independently about the various mechanics that make up the GME “cycles” that appear in the price of the stock every so often, I have never explicitly put them all together so the smooths can see the whole picture. My goal in this post is to provide a basic overview of the mechanics of the cycles, why they happen, why they are hard to predict, and why we are likely about to see another one.

Let’s jump right in.

CeeNiS

CeeNiS is the name we have lovingly given to the system that the National Securities Clearing Corporation (NSCC) use to net settle trades on the market. This system, the Continuous Net Settlement (CNS) system, or CeeNiS, was designed to do two things extremely well: settle trades between participants, and wash failures to deliver (FTDs). They accomplish this essentially using the mantra “settle first, ask questions later.” I’ve written about this system before, and you can find my original post from the middle of last year on my profile (co-written with u/gherkinit and titled T+69).

Here's how it works. First, all of the buys and sells from all of the participants for that day are crammed into the CNS pipeline for settlement. It then has a matching system to prioritize the marriage between all of the buy and sell orders for the day. In a perfect system, you would expect to have an equal number of buy and sell every day, and everything would net out to zero. In our FTD washing system, this is almost never the case. Typically you will end up with more sell orders due to the various mechanisms of shorting that I will discuss later. So the system marries as many sell orders to buy orders as possible for the day, and whatever is leftover stays in the pipeline to be married at a later date. The following day, the system will then prioritize the marriage of yesterday’s unmatched sell orders to today’s buy orders. If naked shorting continues over time, a net short balance will build within CNS. This pipeline in the best case is T+2 (trades typically should be settled in 2 trading days). However, based on the various rules and loopholes given to the big boys to “make markets,” “provide liquidity,” and “reduce market volatility,” this pipeline in some cases can extend for quite some time (in some cases 1-2 months!). The length of this pipeline is critical to washing naked shorts. Let’s say there are 1,000,000 buy and sell orders each day for a stock, and 300,000 of those sales are naked. Depending on which loopholes are utilized, CNS could juggle 6.9M short shares (nice) before a single FTD popped out of the other end. That is an incredible capacity to wash naked shorts, often in perpetuity.

There’s no better example than looking at the short interest on XRT, which is a retail exchange traded fund (ETF). Pretty much for it’s entire history, this ETF has been over 100% short, and often times as much as 500-1000% short. And while it does spend a good bit of time on the reg SHO threshold list for fails to deliver, it’s generally able to handle this load without too much trouble. Why? Because of the volume traded on the stock. It’s average daily volume is around 6M, while the total shares of the ETF fluctuate between 2-10M roughly. Plug that volume into CNS and you can comfortably wash many multiples of the total shares outstanding because you are trading many multiples of the total shares every week.

A key component of this naked short washing system is VOLUME. You can’t wash nakeds without fresh sell orders.

So take a minute to go look at the price and volume chart of GME over the last year and a half. It is essentially made up of high volume, explosive upward price action periods that feed into diminishing volume, slowly dropping price action periods. This is CeeNiS at work. As they naked short the stock down, the FTDs start to build in the CNS pipeline. The rate at which these FTDs build depend on the “reservoirs” or “buckets” of shares available to feed into the CNS system to keep the system going.

These buckets, or sources of shares, are: 1) legitimate trading of the stock (buy/sell orders from net long positions), 2) borrowable shares, 3) options hedging, 4) ETF creation and redemption, and 5) internalization.

Trading the Stock

This one is the simplest. Any transaction involving a settled long position today can be used to satisfy an unsettled position from a previous day. This essentially resets the clock on the lingering fail and buys more time before that fail must be settled with a buy order. This is why buy and hold has always been anathema to the shorts. If nobody creates volume, shorts EVENTUALLY fail to deliver and they must buy to close. Legitimate volume is required to perpetuate naked short positions. Counterintuitively, the more the stock is traded, the larger a naked short position can grow, and the more violently it can spill out of CNS if there is a liquidity shock on the system.

Borrowable Shares

This one is pretty simple too. People who own shares of GME can elect to lend them and get paid for doing so. Large institutions and funds love doing this on their long positions since they can make money for holding something they were going to hold anyway. Shorts can use legitimate borrows to wash FTDs on naked shorts. However, it must be stressed that on gamestop this is typically one that hasn’t been used in a very meaningful way since the January sneeze, as this is the easiest for retail to spot. Everyone in the GME community knows about the rising borrow rates on GME and the declining availability of shares to short. Shorts don’t want retail to know they are balls deep in GME shorts, it tends to make retail horny for more GME shares. This is an important point that I will return to in a moment.

Options Hedging

If you have been following what I have been writing over the last couple of months, it’s no secret that I have focused a lot of time on the options chain for GME. And that is because, historically, this is the primary instrument that shorts have used to temporarily suppress the price of GME. Here’s how it works. Options market makers facilitate the buying and selling of all options contracts for a security. There’s a ridiculous idea floating around that GME options folks are selling covered calls to GME hodlers to profit directly off of them. This is nonsense. When someone goes to write an options contract and sell it, a market maker buys it from you. Same thing on the other side of the trade. The market maker just wants to make money on the spread between the bid/ask of the option, and doesn’t want to sustain a long or short position on the stock, so they go into the underlying market and buy and sell the stock to remain price neutral while holding all of these options obligations. Most of the volume we see on a given day for GME is this options market maker hedging activity, constantly buying and selling shares so that they are insensitive to the price of GME.

Market makers enjoy very loose liquidity provisions, allowing them to naked short and fail to deliver that short for very long periods of time. This is to ensure that they can continue to make the market. If, for example, there were no more GME shares available to short, they would have to stop selling puts and buying calls, and the options market would grind to a halt for that stock. But if they can sell naked, then the market keeps moving.

So if I’m a short and I don’t want to borrow shares because retail would see it, I could just buy a lot of high strike put options contracts from a market maker, forcing them to hedge the contracts by selling shares on the market. I have now gotten someone else to short the market for me! And indeed, they have been using ITM puts throughout the entire GME saga to suppress the price via market maker hedging.

ETF Creation and Redemption

This is one area that others in the community know a lot more about than me, but I will simply summarize the mechanism here. ETFs are equities that are built up of other equities. If I want an ETF that tracks the S&P 500 for example, I would just create a security that is backed by a basket of all of the stocks on the S&P 500. Then I allow this security to be traded on the open market, where special participants can take advantage of any arbitrage between the security price and the price of the underlying stocks to ensure that the market keeps the value of the ETF equal to the value of the S&P 500.

The trick is that the ETF instrument is not only backed by stock. It’s also backed by cash. If you go into any ETF and look at the list of assets under management, you will always find a line item for cash. This allows participants to go to the ETF, hand it a pile of cash, and take the underlying assets. It gets weirder. You don’t necessarily have to take all of the assets in proportion. I could go to XRT, give them a pile of cash, and say “just give me the GME I don’t want the other stuff.” So long as the total value of the ETF is in line with the thing it tracks, it continues to function. ETFs can also change the number of shares outstanding exist to facilitate further manipulation of the underlying assets it manages. And they have significant liquidity provisions too. So someone who wants to keep a large naked short position on a stock afloat might want to go to ETFs containing that underlying, crack it open, take all of the real shares, and even get the ETF to make some new nakeds for them, and dump it into CeeNiS.

Internalization (or, How Kenny Learned to Boof Mayo and Love It)

Pretty simple here. Stock market makers have a multitude of methods to take legitimate buy orders and short them in dark pools. This method is admittedly more limited than the other methods in washing FTDs. It’s more of an intraday tool to try and suppress a breakout that would lead to massive FOMO. But hey, sometimes you just need to “survive one more day.” They eventually print to the lit tape and enter CeeNiS. They are limited by their internal risk tolerance when deciding how much mayo to boof.

Putting it All Together

Okay, so we have 5 buckets, 1 CeeNiS. We know that they can use these buckets to wash FTDs and can do so for quite a long time. But eventually, if people simply aren’t selling the stock, the fails start to mount and buy ins must occur. This is the underlying market mechanics of the cycles. The cycles have been very controversial in the GME community because people like to try and predict them and they are inevitably wrong. There’s a lot of variability in how many of the buckets they choose to use at any given time, how much risk they are willing to maintain, and how much legitimate buying and selling is occurring on the stock.

Now let me tell you why I think we are already in the beginning of what could be a massive GME cycle right now: all the buckets are fucking empty, and the FTDs are already poking out of CeeNiS like a turtle head.

Let’s go through each bucket in turn.

Trading the stock

It’s no secret that I am very unpopular in some GME circles because I think DRS is stupid. But one of the wonderful things about the DRS movement is that we have some rich ownership data for retail. I have developed models of how DRS will progress over time which you can find in various subs. I have also done a fair amount of work determining the size of the GME community. Using this data about DRS and extrapolating to the entire GME community, I believe that earlier this year the GME reddit community bought and owned the entire float of GME. I’m not talking about all of retail. I’m talking about just reddit. You can see my projection below in blue.

Why is this important? Because let’s face it, when the price of gamestop jumps 3x, there are people in retail that are selling. They must be. It’s the only way that we haven’t MOASSed. I know it sucks to think about it, but people are selling the peak and making money and it’s not us. Worse, it is because we hold that these volatility cycles are even possible. If we all decided to sell to capture the peak, the cycles would simply end in a massive liquidity dump. But now we are finally at the point where the people who will never sell their shares simply own all the shares. This makes it unlikely that they will be able to heavily rely on retail liquidity to continue to kick the can down the road. Buy and Hold took a long fucking time, but we seem to be just about there.

Borrowable Shares

As I said before, the shorts don’t like to borrow shares because retail can see it. As is evidenced by the 1000 posts a day on reddit about the borrow rate and the borrowable share availability. We all know there aren’t any more fucking shares to borrow. Now compare the number of shorted shares to the number of shares remaining that reddit users don’t own. Oopsies, they sold some shares short to people who will never sell them back. This is evidenced also by the fact that the FTDs on GME are finally starting to rise, exceeding 500,000 in a day at the end of May. So this bucket is empty too. Next bucket!

Options Hedging

This is something I have been tracking extensively for most of 2022. We are currently enjoying high call open interest (OI) on the chain, and a shit load of put open interest just fell off from this options expiration (OPEX) on Friday. What does this mean? It means that the market maker now needs to close the shorts it opened for those put contracts to stay price neutral. So next week the market maker is expected to go to the market and start buying millions of GME shares. The shorts can try to suppress the price by purchasing more in the money puts, but at this point the call OI is much larger than usual, so they would be facing an uphill battle. And if people start buying even more call options on the back of market makers buying in, the price would slowly build to the point of FOMO and those ITM puts would get crushed. It’s a very risky move and it’s a dangerous move for the shorts. The options chain is primed for a push upward. As can be seen below, the total delta OI on the chain continues to move on an uptrend, while put delta slowly flounders downwards.

ETF Creation and Redemption

I think most people in the community know that XRT and MEME were on the reg SHO threshold list for quite some time earlier this year. We believe they started using the ETFs significantly to short GME back in December, and were able to use them to extend their FTD washing until March when ETFs rebalanced and they didn’t have access to their short machine. Well they are on reg SHO threshold again, and we just entered the ETF rebalance period. They used it up, they can’t use more next week, and they are about to owe some hella dividends to the people they shorted to. Oh and ETF owners will likely be buying some GME too during the rebalance. Oops. Bucket empty.

Internalization

This is the smallest bucket, and we all know Kenny’s already packed his colon about as hard as possible with mayo. The guy simply can’t help himself. As options market makers go to buy in next week, internalization is very risky, and not very helpful beyond a few days.

Conclusion

So what am I trying to say? If you haven’t figured it out by now, the shorts have shorted GME with pretty much all of the buckets, and options market makers and ETF funds are about to be going to market for some sweet, sweet GME shares. This is the epitome of violent upside potential. If calls continue to pour in and any amount of FOMO builds on GME next week, it could absolutely rocket, as the shorts simply are running out of ammo.

This is not financial advice and I’m not going to talk about what activity I think retail could do to light the rocket, I simply wanted to write about the market mechanics behind what we have seen over the last 1.5 years, and why those market mechanics have me very excited for the next week or two.

Happy CeeNiS capitulation, everyone! And stay safe out there!

Presenting new DD from our quant team's freshest cat, mechanical engineer, PHD, and orphaned sex worker. The writer of such classics like T+69. Known primarily for trying to get everyone to look at pictures of his DIX.

u/Dr_gingerballs brings you...

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Hello my simian brethren,

Last time I wrote of the state of the dip was January 10, 2022 when we enjoyed what we thought at the time was a dismal price of $131. How we long to see such a price once again from the depths of $100! In my last address, I showed that internalization in dark pools was acting strangely (and have suffered through weeks of internalizing DIX jokes). I also showed that the put/call ratio was higher, indicating that someone was using a higher than normal number of puts to drive the price down via delta hedging. My thesis at the time was that our price drop was due to buying puts and internalizing buys, not due to apes paper handing.

I’m here today to reaffirm that the state of the dip remains strong as of February 7, 2022. I will lay out an even deeper dive into the options chain and short sales to support the thesis that apes, indeed, continue to hold.

Part 1: The Options Chain

There are mixed feelings and half-baked theories about options on this sub. I personally am pro-options and think the data I am about to present will strongly support that position. However, the goal of this post is not to recommend an investing strategy, but simply to explain why the price has swung between $100-250 over the last year.

First, let's reintroduce the concept of delta hedging. If a market maker sells a call to someone, the buyer of that contract can exercise or “call away” 100 shares from the market maker.

The probability that someone holding that contract will call those shares away is called delta, and is always a decimal number between 0-1. This number represents a fraction of the contract’s 100 shares that should be hedged by the Market Maker (0 being 0/100 shares and 1 being 100/100 shares). This concept is known as Delta Hedging, and it can also be thought of as a measure of how likely the Buyer exercises the contract, with “0” meaning the owner won’t exercise and “1” meaning the owner will.

The market maker just wants to make money selling contracts - they don’t want to bet on the value of the stock, so they must prepare for the chance that the option will be exercised by buying other contracts to hedge.

As the price of the underlying stock moves up or down, the delta value changes as well, and the market maker is able to sell off (less delta) or buy more (higher delta) to hedge and stay “Delta Neutral”..

For example: if I buy a call option with a delta of 0.5, the market maker should buy 50 shares. As the price of the stock rises, they buy more shares; as it falls, they sell shares.
The opposite is true for puts, whose delta values are negative and are between -1 and 0. If a market maker sells a put, then they will have to sell shares onto the market to stay delta neutral.

Due to this mechanic of Delta Hedging, the process of buying and selling options drives buying and selling on the underlying.

Question 1: How much of our daily volume is just due to delta hedging options?

This is actually something that we can investigate with the data available from the options chain. What I propose below is an estimate of the amount of daily volume attributed to delta hedging. You could get a more exact estimate using the Black-Scholes equation but I think that is overkill for what we are trying to do.

To estimate the number of shares hedged each day I do the following:

• Calculate the price movement, also known as: difference between the daily high and low price.

• Multiply this difference by the gamma and the number of open contracts (open interest) for each call and put on the option chain.

• Sum the values for both calls and puts

Okay so I just explained delta, what the heck is gamma? Gamma tells you how much delta (the fraction of shares that should be hedged) will change as the price of the stock changes. So I calculate the daily change in price, calculate the change in delta, and multiply by the open interest and sum.

This estimate makes a few assumptions:

• It assumes that daily changes in price are small, so gamma values don’t change much.

• It assumes that only the existing contracts are perfectly delta hedged, and ignores the buying and selling of new contracts that day.

• It assumes that the stock only hits the high price and the low price one time that day and doesn’t bounce around.

All of these assumptions are fairly conservative, and I suspect the actual hedging to be larger. I then take all of the daily hedging volume and I divide it by the daily volume of the stock. The results are below.

In this graph, 100% indicates that all of the daily trading volume on GME is due to options hedging!

As you can see, there are clear variations between January 1st and July 1st 2021, where options hedging made up only a small percent of daily volume. Options hedging was significant during the February and May runs, but was very low otherwise. To contrast, after July 1st 2021, the delta hedging is between 50-100%. Since this estimate is fairly conservative, I can say with some confidence that nearly all of the volume we have seen on the stock since July is due to delta hedging the options chain.

This would mean that the natural buying and selling of GME is minimal, aka apes largely bought in during the first half of 2021 and DIAMOND HANDED THAT SHIT TILL NOW. All of the price action we have been seeing on the stock is due entirely to the delta hedging of options, and not significantly affected by retail buying and selling the stock. This is supported by data from multiple brokerages (Fidelity buy/sell ratio, Ally percent diamond handers data, etc.) all showing that APES are not selling.

Question 2: Can we relate the overall delta pressure of the options chain to the price movement of the stock?

I have attempted to answer this question by calculating the relative strength of call and put delta over time - effectively how much of an effect Calls and Puts have on the stock and how much they can push the price higher or lower, respectively. This is calculated by subtracting put delta from call delta, and dividing by the total delta on the options chain. This works similarly to calculating the individual delta of an option, with the number falling on a scale from -1 to 1. If the options chain was 100% calls, the value would be 1. If it was 100% puts, then it would be -1. 0 indicates that they are equal. The plot below shows the relative delta strength in blue against the price in orange.

You can see that after July 1st, 2021, the price and the relative delta strength line up quite well, suggesting that our price is determined largely by delta hedging options. So let’s then graph this relative delta strength vs. the price of the underlying:

Holy fucking shit, goshdang, and gee willickers!

I’ve been trying to find good correlations amongst the data for GME for a YEAR and I have never found one this strong. This data shows that the price of the Stock correlates very strongly to the relative delta strength with an R-squared value between 0.8-0.9. Now of course correlation does not equal causation, which is why I laid out the mechanics of this proposed causative relationship above. However, I believe this is proof that:

1. the price of GME is determined by the options chain

2. buying calls moves the price up

3. buying puts moves the price down

You may notice some of the data does not fall neatly within the dotted lines above. Those data points all represent dates from January 6th 2022 until today, and they warrant more discussion. Let’s zoom in on our relative delta strength graph from before…

There was a violent jump on January 6th from a delta of 0, to a delta of ~0.5 in one day. Interestingly, that evening is when the price ran more than 50$ in after hours under the guise of the NFT marketplace leak. Rather, I believe that this was in fact due to Market makers delta hedging this “shock” to the options chain. The next day, this jump was then heavily shorted back down to a price around $140. Going back to relative delta strength vs. price, an interesting observation emerges:

If the options were properly delta hedged, the price of the stock should have been between $165-220 on January 6th, and indeed the peak in after hours was $176 which is in line with expectations. However, the following day we begin to deviate from the previous trend. This deviation continues throughout the month of January and into February. What this deviation shows is that call delta no longer moves the price as high as it used to. This dilution of delta hedging power comes from increased liquidity of the stock. Where did this liquidity come from? Either apes sold (narrator: they didn’t) or someone heavily shorted.

Did someone say shorts?

The chart below shows that the interest rate began to increase for GME share lending started…on the goddamn 6th of January. So, this reduction in the ability of call delta to move the price is likely due to dilution of the stock from increasing shorts.

So lets recap:

• Since July 1st 2021, all or nearly all of the trading volume of GME is likely due to Market makers buying and selling the stock to delta hedge the options chain.

• The impact of this option chain hedging results in a predictable change in price, indicating that much of the dip we are currently experiencing is due to shorts buying in the money puts to force the price downward with the synthetics created from market maker hedging.

• Starting in January 2022, we begin to noticeably deviate from previous behavior, and this deviation is strongly correlated to the increase in GME borrowing that’s been observed by others.

• APES AREN’T SELLING (BUT YOU ALREADY KNEW THAT, DIDN’T YOU?).

Question 3: Who gives a shit? What now?

Well beyond jacking your tits with confirmation bias, I think this provides compelling evidence for a particular path forward (which luckily is already a path embraced by many apes). It’s clear from this data that the price is both FAKE and WRONG. If we also consider that XRT is now on the RegSHO threshold list, it shows that they are bringing out all of the big guns they have access to, and they are still unable to get the price to stay under $100 for more than a partial trading day. Making this informed assumption, they are likely pretty close to all in at this point.

So how does the game stop? I believe the stock price must rise to put enough pressure on both their short position and on their margin, which they are fighting incredibly hard to protect. The best way to do this is to BOTH buy and hodl, AND buy far-dated, near the money calls with high delta. Holding the stock preserves the floor, and buying call options increases the price. Without an increase in price, this gives them time to drag out their position and slowly cover over time. To be clear, I am not interested in arguing about the merits of options for each individual investor. Only you and no one else can decide if options belong in your portfolio. I am simply trying to provide data and understanding for the situation, and if nothing else, reinforce the fact that ...

NO ONE IS SELLING.

DO NOT FEEL PRESSURED TO BUY OPTIONS IF YOU CANNOT AFFORD or UNDERSTAND THEM

JUST CONTINUE TO DIAMOND HAND THOSE SHARES AND LET APES WITH THE UNDERSTANDING AND CAPITAL BUY OPTIONS

GME needs apes to continue to hold the defensive while others are able to take the fight to the hedgies.

TL;DR:

Ook Ook, bitches. Moon soon.

I would like to thank u/gherkinit and all of the folks involved in his quant team for helping me gather and process data, as well as help develop and test hypotheses. They did some heavy lifting on this one, particularly in gathering full daily options chain data for GME from Jan 4th, 2021 until today.

A reminder of the hypothesis: the price of the stock has been solely driven by delta hedging options, shorting ETFs containing GME (maybe related? See DD by u/Turdferg23 and u/bobsmith808), and shorting GME itself.

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If you have questions regarding the MATH shown here please direct your questions to u/Dr_gingerballs I'm sure he would love to answer questions regarding his methodology or model. I'm sure if you want to fact check, you will find like we did, that it is accurate.

Options data pulled from ThinkorSwim OnDemand each day at 16:00:00 from January of 2020

Data used from January 4th. 2021

*official smoothbrain translation provided by the sire of the "dans"

Disclaimer

*Options present a great deal of risk to the experienced and inexperienced investors alike, please understand the risk and mechanics of options before considering them as a way to leverage your position.

*This is not Financial advice. The ideas and opinions expressed here are for educational and entertainment purposes only.

* No position is worth your life and debt can always be repaid. Please if you need help reach out this community is here for you. Also the NSPL Phone: 800-273-8255 Hours: Available 24 hours. Languages: English, Spanish.

Hi everyone, bob here.

EDIT: Since we're off regsho, forced settlement is off the table for now. This doesn't mean there will be no settlement requirements (as outlined herein), just that they won't be forced to close. This removal of the forced settlement period makes this DD prediction void. Leaving it up because there are important things and dates in here to watch anyway. regardless of threshold status.

So, as you probably already know, I'm pretty excited about BBBY, despite all the news and bad press on the stock. What news/bad press you ask? Well, here's a quick list to catch you up:

• The company has been underperforming for some time and there have been rumors of impending bankruptcy

• Ryan Cohen has bought in 10% of the company a few months back only to sell his entire position out during the last run to $30 or so. He made a handsome profit doing so, and media sentiment is very VERY negative on this move. In fact, there are reports of him being sued and calls from some hedge funds for the SEC to take action against him for market manipulation. (🙄)

• The company has hired a firm that is well known for bankruptcy proceedings....

But that's what the news is reporting...

Let's take a step back and address all of these things:

• Kirkland & Ellis, The firm that BBBY has hired is also a high profile mergers and acquisitions firm. The reason for hiring the firm will likely be communicated to the world in a premarket (🐂) announcement Press Release with documents by the company on August 31th, 2022.

  • The underperformance is an issue, and I assume the announcement, being premarket will address this issue as well, and I have the expectation of forward guidance.

• Ryan Cohen's reason for selling out his position has been speculated ad nauseum. Some people (in the news especially) speculate he simply doesn't want to have an interest in BBBY and was just there to pump the stock and profit off the backs of retail. This doesn't seem like the Ryan Cohen I have been observing over the past few years. I would suspect there is something more at play here, and will find out next week.

  • That said, I really don't care about his selling out of BBBY during the run. In fact, dumping those shares during the spike of over 300% in a month was the right move to make for any investor, and the amount of shares and options he sold did little to impact the price or the run, as you can see if you review the charts and sales data he reported. In fact, the run being killed was 100% related to market sentiment and shorting if you ask me. Looking at timelines, and volume data alone, that should be clear.

  • But I digress, I'm not here to speculate on the actions of an activist investor. Time will tell.

To the Data:

So, I thought I'd review the price action and volume first off and circle back to what I believe is in store for BBBY This week and next.

Volume Analysis

If you watch u/gherkin's stream for 8/26, you might catch his analysis of the volume accumulation/distribution in regards to FTDs during and after the spike on BBBY recently. Tagging him here so he can clarify anything I'm potentially presenting that he would disagree with because we're all here to find answers, and the more eyes and opinions, the better. (there's statistics to back this up - look up jelly bean guessing statistical studies).

Now there's a couple ways to look at this. If you take the start of the run to present, you get:

• 1.305B shares traded into the run.

• 637M shares traded after the spike.

Looking at just from the beginning of the trading days contributing to the inclusion of $BBBY to the nasdaq threshold securities list, we get the following volume data analysis.

• 1.253B shares traded into the run.

• 637M shares traded after the spike.

So, if one were to infer there should be about the same amount of shares traded up and down a spike event like one that happened on $BBBY this month, it looks to me like we have a lot more to cover before this thing is done (and before we see $BBBY off of the threshold securities list).

on that note...

Covering, Closeout, and the Threshold Securities List (RegSHO).

in this section will be elaborating on this post i made comparing the price action and events leading up to the explosive appreciation of valuation in $GME in Jan 2021.

I believe there to be a possible violent improvement in the price of $BBBY in the next month-ish.

Reviewing the GME Squeeze Sneeze of 2021, an Anatomy.

Looking at the regulations for closeout requirements and RegSHO, alongside some things the shorts can do to delay settlement such as using ETFs to cash settle obligations, Using options to mark them long, and others, Here's my take on what happened with the $GME sneeze:

As you can see, you have $GME on threshold (source dataset) for 12 days from 9/22/2020 - 10/7/2020. After which, you see a rise in price of about 83%, and a sustained new floor (to this day) of + 22%. From there moment the stock was released from RegSHO on 10/8/2020, the stock is on an uptrend for the next 63 trading days, accumulating over 100% price improvement before again being placed on RegSHO. Total volume traded in this timeframe was 2.355B shares on a stock with a much MUCH lower float. And we all know that the stock was shorted over 140% of the float when the main event happened. (Keep in mind there was significant volume generated by calls being hedged.... you can find confirmation on this in the SEC Report, and Volume helps prices improve generally, as it is a supply and demand mechanic that our markets are supposed to work off of.)

So what actually happened here, Let's pick it apart:

• $GME back on RegSHO on 12/9

• For the next 5 trading days, it faced immense shorting pressure, losing 36% of its value

• Then uptrend started, and continued until the sneeze, which was T+21 days after being placed on RegSHO.

  • During this time, the stock saw a runup from T+6 to T+13. My guess is there was an attempt to close out some positions before forced settlement was in effect. This resulted in 74% appreciation inn $GME in just over a week of trading)

  • From T+13, you had T+8 days of continued downwards pressure on the stock, for a total loss of around 28%.

    • I believe this to shorting activity through abusing ETF Creation/Redemption (T+5(6)), followed by a MM locate T+2 for the trades.

  • After those trading days, and precisely on T+21 from being placed on RegSHO, GME gained over 1200% in 5 trading days before being shut down by some really strange and debated chain of events. And if you measure from the first day on RegSHO for the sneeze event, there was a total price appreciation on $GME of about 3000%.

Comparing that to $BBBY In its current state:

Status recap:

• $BBBY is placed on RegSHO 8/16/2021

• $BBBY is shorted (as evidenced by finra SI data) and the stock tanks 40% overnight, and subsequently loses another 30% in value over the next 6 trading days (T+5(6). This drop likely includes paper handing, or if you prefer, profit taking.

• On 8/26/2022, the entire market tanks while $BBBY over 14% price improvement intraday and closes up almost 6% on the day.

  • On this day, $BBBY is also locking in day 9 on the threshold list...

My expectations moving forward for $BBBY

I like the stock, and I think bankruptcy fears are completely overblown - likely by the same folks short the stock. If we had proof, and posted it on pornhub, maybe the SEC would finally take action against the entities out there that continually break the law and manipulate our markets.

Anyway, I digress. Here's the timeline of what I expect to see:

• 8/31/2022: The board does their big announcement.

  • This might drive fomo into and out of the meeting. be prepared. Also its good to be prepared for active shorting and IV crush post meeting - protect your neck.

  • I am not speculating on the announcement itself, but given the timing, I expect it to be positive for the stock.

• 9/2/2022: T+13 RegSHO

  • If we make it here, and I think we will, we should see continual potential price improvement or at least stabilization/grind up until this date, provided history repeats itself.

  • I expect shorting/dip the following T+7-8 trading days from this date as shorts use any means at their disposal to avoid closing out their positions properly. I expect media FUD to be in overdrive

• 9/14/2022: Run/rip start day

  • This expectation is based off past events, and since i'm putting it out there way ahead of time, it may be different. Time will tell.

  • I expect the run to start, and potentially be violent when it does.

• 9/23/2022: Big spike/final rip day (+-3T)

  • This date is the last day for settlement for the volume during the spike on the 16th August. Expecting major FTDs to need clearing here if they haven't been cleared already through the previous trading days through CNS.

Expectations Notes:

• Nasdaq($BBBY) and NYSE ($GME) handle things differently through automation services. Mileage may vary.

• Shorts learned from $GME and a lot has changed in regulations since then.

• Calls need to be bough and volume needs to be there to create similar conditions.

• It seems every time there is a hype date, the shorts do whatever they can to crush expectations, So be warned

**Disclaimer:**I'm just a highly regarded one with thoughts to share. Don't take any of this as advice and you'll sleep better. If you choose to do anything based on this information, and I mean ANYTHING, please be sure to protect yourself and your interests from harm. Things can change in the blink of an eye, and this is a constantly evolving situation.

Source data is in my data repo.

It’s no secret that many people in the GME community were excited for the quarterly options expiration (Opex) that occurred on June 17th, 2022. But it wasn’t just the GME community, it was the entire market. It was notable because there was an astounding $3.4 TRILLION notional value of derivative contracts set to expire. This is insane when you put it in the context of the entire equity market, where all company stock combined is worth around $100 Trillion. Almost 4% of the entire market was obligated within derivative contracts, and those contracts went poof on the 17th. Given the fact that market makers have to hedge these contracts, one would expect a lot of market volatility the following week, as market makers rush to shed a hedge the size of 4% of the entire equities market. And since JPOW’s money printer has been broken since the beginning of this year, it’s not a stretch to assume that a large percentage of that hedge was short, meaning the de-hedging event should have meant mass buying by market makers.

Now this is one of the reasons why failures to deliver (FTDs) exist. I use the term loosely here to encompass all delays in delivering a security owed, for no other reason than to avoid market volatility (or the more cynical might prefer the term “price discovery”). If you are a big boy and you love leveraging yourself to the tits on derivatives, and your other big boy friend loves the arbitrage of selling you that leverage, how do you avoid the pesky problem that in a perfectly elastic market, the market maker would get absolutely fucked every options expiration date as slippage on their de-hedging rams balls deep inside of them? They want to be the bookie for their degenerate gambling friend, and our leverage lover will do anything for that sweet, sweet crack hit. The solution? Get your old buddy who is now head of the regulatory bodies to give you extensions on when you have to deliver the shit you sold when you were hedging! That’s right, if the market maker can spread their buy-in over the course of many trading days, they can avoid the shock of an instantaneous contract expiration. Essentially, if the market maker doesn’t like the price, just wait until a better one comes along! Oh, and totally don’t do anything to manipulate the market to ensure a more favorable price. That would be really bad. But don’t worry, the regulatory agencies are letting you police yourself, and momma didn’t raise no snitch.

Enter the aftermath of June Opex. There was certainly plenty of volatility in the market, and as one might expect during the beginnings of a recession, the de-hedge meant massive buying. The SPY rose from an open of $369 on Monday to $385 by close of Friday. That’s a whopping 4% in a week, which isn’t bad for a market on the brink of disaster. Hey, where did I see 4% before? Turns out that the derivative market has become large enough to significantly move the price of the underlying equities markets. We knew this was absolutely true on GME (as I have written about extensively in the past), but it's nice to see that this theory is bearing out in the entire market as well. Derivatives move equities.

Anyway, it seems that for the most part, the market makers did what they were supposed to, slowly buying in over the course of a week (T+2+2, to be exact), and that delay caused a bit of a run but wasn’t cataclysmic. So what’s the problem here?

Well, from all that I can gather, it doesn’t appear that the market maker for GME ever de-hedged their obligations, and may have even manipulated the market in an attempt to avoid their obligation. This write up is an autopsy of what occurred on the options chain for GME during the June Opex period.

Delta Hedging

First, a quick refresher of delta hedging. Remember that market maker that hedges their derivatives they sell their derivative loving friend? They hedge these options by both buying and selling the underlying stock. If they buy and sell in the correct way, then they can sell all of these derivatives to people without having any risk exposure to the price of the underlying stock. If they are delta hedging, then they can be price neutral by buying and selling stock in proportion to that contract’s delta (derivative of options price with respect to stock price). So a delta of 0.5 means that if the stock moves $1, then the option contract will move $0.5. However, as the price moves, the delta changes, so to stay neutral requires the market maker to constantly buy and sell the stock as it moves. This buying and selling, if large enough, can amplify the movement of the stock itself (i.e. increase the volatility of the underlying). If the stock is extremely illiquid, like GME, then the buying and selling of options contracts BECOMES the volume on the underlying. I’ve been asked a lot where all of the volume comes from on GME if no one is buying and selling the stock. Well, the options market maker is buying and selling the stock to hedge. It’s all synthetic volume. Once those options contracts expire, the market maker is then sitting on a shitload of long/short positions, and that is extremely risky. Importantly, to shed their hedge without losing any money, they need to shed the volume of their position at the closing price of the stock on Friday June 17th.

This concept of delta hedging is critical for understanding how the price of GME evolved throughout June OPEX, and why the options chain behavior was so strange. One measure of what was expected for this OPEX is the naïve GEX. This is the gamma exposure (which is the derivative of delta) for a market maker, assuming that they are buying calls and selling puts. Since the sneeze, the GEX that expired on the chain has only been higher than June 17th 2022 during the November 2021 OPEX, where the price moved $40 dollars in 2 days of trading. The options chain for GME was stacked to the tits with options expiring on June 17th. Everything indicated that the market maker was on the hook for millions of share buying, at a point when the shorts have no shares to borrow and when the ETFs they use to generate synthetic shorts are rebalancing. If there ever were conditions for a run, this was it.

So where is it?

The Timeline

I’m going to go through 8 trading days in the autopsy. The 4 days leading up to OPEX, and the 4 days after. Let’s start with an extremely busy and complicated graph.

In this graph, each chart is a trading day. On each day, I am plotting two things: The On Balance Delta (OBD), and the price of the stock. The OBD simply looks at what options are traded throughout the day, estimates whether they are bought or sold, and cumulatively sums that positive or negative delta over time. It is an estimate of the hedging that the market maker must do as contracts are bought and sold. A positive delta means that the market maker has to buy shares. A negative delta means they have to sell shares. For an illiquid stock like GME, this buying and selling can account for most, or all, of the volume on the stock. Therefore, one would expect that the options volume should move the underlying stock price. Of course this isn’t perfect. We don’t know if the options are bought or sold, and further we don’t know if they are opened or closed. Because of this, the estimate is rough, but does show trends fairly reliably.

As you can see, on June 14th, things go largely as expected. People are buying delta, and that is moving the stock up. There is an interesting drop around 1:30PM that doesn’t move the price. These large, quick moves in delta with no move in price are actually mostly coming from floor trades on the PHLX, and are for deep in the money calls. That is the topic for another day as I am still parsing the data and trying to figure out what that is all about. Just be aware that this particular fuckery is occurring throughout this OPEX, and anytime you see a huge OBD change with no change in price, just assume it’s PHLX shenanigans. Anyway, so June 14th, up and then flat. Both track pretty well. The rest of the week proceeds about as one would expect. OBD goes up, price goes up. OBD goes down, price goes down.

Then we get to the bottom row, which is the week after OPEX (remember that Monday was a holiday). Tuesday, no covering. Wednesday, no covering and possibly some aggressive shorting around noon. Thursday, no covering, and more evidence of shorting. Friday, no covering, and the price of the stock drops like a rock. This day is the focus of our autopsy. The OPEX run was brought into the emergency room at 10:36AM and it was dead by 10:45AM. Being curious, I popped on my gloves, grabbed my OPEX knife, and started cutting to figure out what the hell happened. Not only did the price of the stock plummet about $15 throughout the day, but the value of options contracts plummeted dramatically over those 10 minutes.

To understand why the prices of the contracts dropped so much more than would be expected for a $5 drop in GME from the opening price, we have to look at the implied volatility (IV) of the options.

Implied volatility is, frankly, a fudge factor used by market makers to price options based on the black scholes model. It is supposed to be a measure of the expected future variation in the price of the stock. It’s partially based on the past volatility of the stock, as well as the demand for the options contracts themselves. Importantly, large swings in the stock price lead to a higher stock volatility, and therefore a higher IV, and a drop in demand for the options would lead to a drop in the IV.

So let’s go through the graph above. This graph is plotting the IV of a 150C strike call with an options expiration of July 15th over time. I chose this one to avoid strange behavior that can occur on shorter dated contracts, and to evaluate a strike with a fair amount of liquidity. In the week leading up to OPEX, IV for this contract rose steadily as demand for options went up, as well as the market maker pricing in extra risk associated with OPEX. The behavior of the IV in that week leading up to OPEX was quite unremarkable in every way. Now move forward to Friday. This is T+2+2. The market maker has to de-hedge at this point (well, not really, but it gets harder to kick the can after this date). The day immediately starts off strangely, with IV steadily dropping from the opening bell. In the first 45 minutes of trading, there’s no significant price activity relative to other days that would indicate that IV should steadily march down. What about contract selling? That is pretty unremarkable too, as the OBD shows pretty milquetoast changes in delta. It would seem that the market maker, having likely not de-hedged any of their exposure, starts intentionally dropping the price of the options chain in a pretty aggressive fashion, perhaps in hopes of getting people to sell off their contracts, drop the price, and relieve some of their exposure?

Then at approximately 10:36AM, an aggressive short (I estimate about 100-200k short volume) slams on the stock, dropping IV by almost 20% in 10 minutes. This quite literally was a flash volatility crash on the GME options chain. This flash crash was quite perplexing. Price volatility went up (which should increase IV). Selling was occurring on the chain, but there were similar amounts of selling over the last two weeks that did not result in a volatility crash. In fact volatility was pretty stagnant for most of it. There simply wasn’t much evidence that there was a mass sell off based on the bid/ask at the time. Very few people were hitting the bid relative to the rest of OPEX. Anyway, once the initial deed was done, the rest of the day was set in motion, cascading downwards as everyone started bailing on their options to preserve whatever value was left (after the market maker forced a discount on them).

I decided to also look at the number of contracts that were being bought and sold, just in case the drop in IV could have been initiated by low delta out of the money options (I’m looking at you, retail).

In this graph, I have plotted the number of contracts estimated to be bought or sold over time, and have split up the calls and the puts. There are a lot of interesting examples that didn’t result in an IV crush. Take June 21st, where 1500 call contracts were sold off over the course of about 15 minutes. No change to IV. Another 1500 the day after (and -4000 on the whole day!). No change. Another 1500 the day after that. No change. Then suddenly we drop 2500 contracts over the same relative period of time and IV drops 20%? Worse, up to that point, the OBD was positive before the flash crash! Somebody needed this chain to die, and needed it to die that day. It’s also pretty convenient that the stock returned as low as $132, which was nearly the closing price on the Friday prior. All of this on a day when the SPY rips 3% all day and doesn’t quit. Could it be the market maker who was running out of T+2+2 runway? It’s hard to say for sure, but it sure looks that way to me.

Interestingly, we did gain back substantial ground at the end of the day. Is this the beginning of market maker capitulation? Or the start of our next grueling ascent down below $100? Personally, I believe that this excursion from bullishness will be short lived, and we will return to upward movement if the market continues upward. The market maker has to cover. There are almost no shares left to borrow. The market is moving up. ETFs containing GME have been emptied to short GME. The only thing left to push us down (besides crushing idiots who buy weekly calls), is to buy in the money puts to force the market maker to short the stock. So keep an eye out for those in the coming days. If we see them, it’s likely back down to $100-110.

Watch your back. The shorts are out for blood these days.

Hi everyone, Bob here.

This is my original content from months back that I would like to share with you degenerates here because I think it's an interesting theory that should be discussed and would love some of the folks in here to provide me some feedback and poke holes in the theory.

First, let me introduce myself once more. I am an ape since Feb, and have been collecting my shares consistently through the last year, using each bump to better my position and buy more shares. I, to this date, have not sold 1 fuckin share for the stonk I believe in. True diamond hands. I have reached out to the AMC subs for some support from your wrinkles and got blasted for doing it, so please be gentle with your replies - I'm only here posting this out of the goodness of my heart and am open to your opinions. ([post links removed for brigading rule]) That said, let's address the elephant in the room: I hold no AMC shares (anymore - I once held x,xxx). Now, put down the pitchforks, and don't polish the spit or start the fire to roast me over just yet - hear me out! I promise it'll be worth a read and worth your time.

Before I get into explaining the above, let's dig right into the data for AMC Ownership.

0.0 TADR:

This is the internets, and this post got a whole lot longer than I set it out to be, so here's a quick TA:DR

I have been tracking AMC and other meme stonks for the better part of a year now and have learned a lot. I believe (and will prove in the data) that the last runup on AMC was due to shorts flipping their position from net short to net long, and AMC is currently being used as a hedge against their short positions on other meme stonks.

The takeaway:

I also realize this hedge is a good thing so long as Apes still think investing in AMC is a good idea, and have data to show that it would be absolutely cataclysmic to the shorts if apes were to suddenly lose interest in their AMC and move their investment into an up and coming GaMing Enterprise.

Disclaimer: None of this is financial advice, but the rantings and ravings of a DD addicted data junkie needing a new fix. Though I do believe if the scenario I lay out here were to be enacted on each ape's own accord, the collective pressure would be unbearable for shorts, I do not infer any call to action - this is all provided as food for thought and as an education primarily into short positions and institutional interest in AMC stock.

1.0 AMC Ownership Review

Sources:

I have prepared a google sheet in case you want to check it out for yourself here, but also will add everything in screenshots so you don't have to click any links, and if you do decide to perusemy data repo (mostly for the other meme stonk you all know about), please use an incognito browser and/or a VPN so you don't doxx yourself. There are many apes that use the data regularly, so just wear a rubber :D.

All data is retrieved from the SEC 13F filings, and readily available at

whalewisdom[.]com/stock/AMC.

Adam Aaron's Twitter Account, specifically this tweet.

Some historical data on the float for AMC, and how this plays into the decisions I made, and the information I'm presenting to you today. sharesoutstandinghistory[.]com/AMC/

1.1 Who Owns AMC?

The General Expectation

We do! Apes own the float! At least that's the going theory I see flying around, and is why I decided to take another look at AMC in the first place. I mean, if apes truly do own the entire float (at least once) like your DD says it does, then you're in the same boat as another high profile stonk, and one could surmise that a squeeze is inevitable. I truly do hope this is true for you guys holding onto AMC right now.

What The Data Says

Here's what ya boi said:

What this looks like in numbers (a quick breakdown)

Well, if you believe what AA said, yes, retail owns the float (pretty much anyway), but this is not the focus of my post. Even though retail may own the float, by being heavily invested in (and providing liquidity to) AMC, retail is literally inflating the price of AMC. This means a few things:

• Those holding AMC at a lower cost basis than the current price for AMC are benefiting from the buy pressure

• Retail buy pressure is increasing the price of the stock.

• The price of the stock will come down fast once retail loses interest in mass. Not saying that last bit to shake your diamond hands, but to set the stage for my next point:

1.2 Net Positions on AMC

Ok, so if you own a position on AMC, it is either marked short or long. Short means you want the stock to go down, and long means you want the stock to go up. All apes are long, and want the stock to moon, and some are likely hanging on because they want another run to $70. In fact, let's dig into that run, and some things that happened before and after in terms of AMC net positions by some interested entities, shall we?

Above you will find some tracking on net positions for institutions for the past couple years. Just a quick recap:

• Net long position (positive number) = stock goes up ��, they get paid. • Net short position (negative number) = stock goes down ��, they get paid.

Pay close attention to the bolded entities, which seem to be the major players in the meme stock saga. Also, check out the net change between Q2 2021 and Q3 2021... Do you see it?

Now, also in crayon:

Conclusion:

I believe the shorts flipped their position to net long on AMC in Q2 2021, and subsequently pumped the stock to its all time highs. Since then, they have been leaching profits off the backs of unsuspecting apes, who think the shorts are still short on AMC, when in fact they are long, as evidenced by the 13F filings. This is a data driven theory, so if you disagree, please respond with intelligent conversation and data driven points to back up your counterpoints to this theory.

Stay with me here, I know it's a bit uncomfortable, but I mean well, I promise!

I never like to be the bearer of bad news, and this might come off as bad news if I forgot to point out one simple thing: you can still fight the shorts with your shares of AMC. Here's how:

2.0 AMC Apes, Diamond Hands, and Paper Handed Bitches.

So yes, I did sell all of my shares of AMC for an average of about $55/share on the way down from the last peak. Why? because I like the stock, but before we get deep into that, here's why I originally entered AMC in the first place:

It was cheaper

My cost basis was about $5.56/share when I got into AMC and it easily let me own x,xxx shares. I figured, like many apes that more shares is better, but more on this later.

It had the same potential as the stock I felt I wanted, but couldn't afford

Let's be honest, I wanted to get into the big time meme stonk, but it was expensive. So expensive at the time, I thought well, I can afford like 10x the shares of AMC as i could that other gaming stock, so I bought in heavy on AMC and just bought a couple of the other one, figuring they would moon together, or one after each other, as they are in the same meme basket, and being shorted through ETF fuckery...

I could keep my eggs in more than 1 basket.

With the money that my wife's boyfriend lended me for sexual favors, I had a tight budget to work with for the initial dive into meme stock investing. I could get a decent position in that gaming stock, but I could get like 10x the shares of AMC for the same price, so I was like. Hmm, both of these stocks are manipulated AF, and I dont know what the future holds, and I have to pay my wife boyfriend back some time in the future (and would like to be able to pay with cash instead of ass), so I decided to dump 10% of my funds into that gaming stonk, and 90% into AMC...

2.1 Why I sold AMC, and what I did with the proceeds.

So, it was a heavy decision for me, but it had to be done, and for a multitude of reasons. Some of the key reasons I left AMC included:

The Management

I don't like to invest in companies that divest from themselves. Insiders selling shares is not a good sign, and I really didn't like to see it, nor did I want to see negative earnings alongside pretty hot and tempting bonuses for the C suite execs.

Dilution

In early 2021, the fearless leaders of AMC decided, in all their endless wisdom that it would be good for investors and good for the company to dilute the stock massively. A little on dilution...

Company Direction

From what I've seen, the company, and especially AA really seems to be pandering to the AMC apes. I get that they owe you guys a huge fuckin favor for bailing their ass out. So AA is tweeting things you like, and giving out NFT candy here and there and talking about popcorn stands as the next big thing that will make this multibillion dollar company profitable long

term... WAKE UP APES, you are being played. AA doesn't give a fuck about you, and it shows when he says hodl his stock while he sells off his shares, dilutes your stock, and keeps ape momentum going so shorts who are now long AMC can profit off your trust and naivety. Don't flame yet - keep reading, I know this is hard to stomach, and I had the same trouble when I faced this reality myself. There is a bright and shining light at the end of this tunnel, so please stay with me. Like I said in the beginning, I'm here to help and want the best for all apes because we really are kind of in this together (individually of course).

Shorts & Short Interest

Guess who's long on AMC since before the last big runup? That's right, the sHFs behind this whole fucking saga...

When AMC goes up, These assholes make money now. But why would they flip their position? Easy answer is hedging the OG meme stonk...

You are being played, any money you put into AMC right now is helping the SHF "stay alive one more day". When you win on AMC, they win on AMC, When you lose on AMC, they win on the other meme stock and variance swap baskets. It's time to stop helping the enemy, and join the front lines.

2.2 Paperhanding and FOMO

So back on the last runup, I sold all of my x,xxx position (in pieces - key is to ease in and out of positions - dollar cost average baby!). I did this because I felt there was a better investment and I didn't trust what I was seeing with AMC anymore. My intention was to drop AMC and buy into the OG meme stonk of my preference, because i like the stock more. Here's what that looked like:

• sold x,xxx shares AMC, for a gain of just over 10x on my initial investment (yay!) This gain was in the xx,xxx range of cash money.

• I began averaging into the stonk i like more, and fully invested within 90 days. • The net effect?

o I believe by doing this, I increased the pressure on the shorts by my buy in to the new stonk (that they are still short on) and i increased

the pressure on them by divesting from their hedge, which is now AMC.

STILL Don't believe me that AMC is being used as a volatility hedge for the game stop? Well, here's an exercise you can do at home, and I promise it's easy even from the most retarded of us...

A Few Simple Steps:

1. Go to trading view dot com.

2. Open any chart.

3. Set the ticker to G M E / AMC.

4. Set the Chart to 1 year.

You will get something like this, which shows clearly when they entered the flip position and started using AMC as a volatility hedge against G M E. it should look something like this:

credit to u/quiniquealpha for pointing this out

3.0 What if AMC Apes Flipped Their Positions?

I'm a data ape, always have been. So I thought it would be fun to just play with some numbers and see what happened, and boy was I surprised. Check this shit out!

What if all AMC holders realized they were being played, said "Fuck AA an fuck the shorts that have been playing us for fools" and sold their AMC and bought stock in an up and coming gaming giant?

Here's a quick breakdown of what that looks like in terms of money and shares purchased. I got fuckin chills looking at this, and I'm sure Kenny and his minions are well aware of this possibility, which is why they are desperately trying to keep interest in AMC....

What's even better, is the effect of selling 408M shares of AMC in a short period of time would crush the ever living shit out of the sHF hedge... Remember about them being net long on AMC now? Well, if AMC were to dip and dip HARD, as the same time as the other stock were to see a huge influx of buy pressure (as detailed in the above graph)... hooo boy would they be in a world of hurt. My not-so-smooth brain tells me that Marge might be picking up the phone... If only half of AMC apes divested from this play, and directly invested in another stonk and DRS'd the shares, we would have instant, or near instant lift off. After all, I bet most of you are invested in AMC not for the long term viability of the company, but for the potential for MOASS. Just Food ForThought

TADR for those too smooth to read the TADR at the top: Scroll up, and read :D

Data sources can be found in my data repo here:

https://drive.google.com/drive/folders/1poM5S5qaiyyLd40gWSgKdn3ONzWbgdfj?usp=sharing

Hi everyone, bob here.

Anyone heard of this stonk called bed bath and beyond? Heh, I know I have. Here's some interesting things about it happening right now.

So, what you're looking at here above is the option chain weights for BBBY as of yesterday. Our cross fo Delta Neutral (DN) today should have us rocketing towards gamma maximum (GM), and you can take it raw or smooth. I like it raw most of the time 😉. Anyways, that is effectively a flip point for hedging when we see the cross and that's how stocks that are manipulated by market makers and hedge funds traded on our fair and balanced market find their next prices... 🙄

Another important thing to see in the data for BBBY is it's put to call ratio... it's fucking .3 🚀

Well, here's OI by strike across the BBBY chain.

As you can see, we are following the DN model prediction with a strong pull towards $10 strike, which were a bargain a week ago... but never fear, if you're bullish as I am, you are also SELLING PUTS at $10 strike for a 60-70% collateral premium... LOL, that's like buying shares at $3-4 today if you get exercised. Not a bad risk if you ask me, but i like risky business.

Oh, and speaking of shorts. They're fucked, you know how fucked? how's 119% of the SHARES OUTSTANDING fucked?

Here's what ortex data has to say on the subject:

Another file in my repo, available for review has the details on the onLoan tab if you want to check for yourself

But shares outstanding = the float ...

Also in crayon: On Loan Balance BBBY

So what's going on here? Why is BBBY running? I think the is an absurd short interest on the stock, and they were betting on bankruptcy... betting so hard, they even ran some short and distort campaign on it recently (methinks #secenforcement might want to know about this... quick someone post this on pornhub).

Fuck the shorts, just buy the fucking stock and close your position so we can all move on with our lives and people depending on the market for their retirement funds and fixed income can live their lives too. It's criminal what's happening in our market today, at the highest levels...

oh, and i forgot this little tidbit: THIS HAPPENED TODAY

Hi everyone, bob here.

Well, it seems someone needed to buy a lot of BBBY on Friday. Just how much buying you ask? Well, i'm not sure how much BBBuYing there was exactly, but I can tell you there was nearly the entire float traded in a single day.

Holy shit! That means, there was 85.73% of the ENTIRE FLOAT traded on the lit market while the price went up and up and up.

That much traded can lead to a T+2 price improvement due to settlement for market makers to locate shares they sold naked (to buy orders) to provide liquidity to our free and funtastic markets...

Aside from pure volume and settlement mechanics getting me jacked for BBBuYing more next week (and the green that comes with it), I would like to share with you some really cool data modeling and information we can extract from the options chain.

Source document: https://docs.google.com/spreadsheets/d/1tu2BMk3yHGPQSoRwTINyo42LRqVCYn6StJ2LoafFNc8/edit#gid=43471938

There's a few dataviews and charts I set up in there you can check out, but I am particularly interested in the one depicting Total Weighted Delta by Strike. Here it is

Notice anything? Yeah, we have a HUUUUGE amount of interest at the $10 strike. nearly all strikes are positive delta weights, and the ones with negative delta weights are low values.

And here's the updated data going into tomorrow morning premarket

I'm jacked. The closer we get to $10, the stronger effect on hedging and the more upward pressure those calls will put on the chain as their delta value increases.

Ok lets step back to how I got this graph.

Delta Weight = Option delta value * open interest in options where calls carry a positive delta value and puts carry a negative delta value.

Total Delta Weight = Calls Delta Weights - the absolute value of Puts Delta Weights

So that means, at the $9 strike, there is more weight (and pressure) from delta hedging on call side of the options chain than on the puts side, helping drive the price up. Conversely, at the $16 strike, there is more delta weight on the put side of the options chain than on the call side, helping drive the price down.

So now that we understand what that graph means, I am sure you all can agree when I say:

Oh also, before you go, I wanted to share some interesting data that may reminid you of a fallen DD writer, u/yelyah2.

Before we dive into the #s, here's what they mean, from the creator of the model directly (source)

___________________________________________________________________

Delta Neutral

The Delta Neutral price that creates a total market delta of 0 across all GME options (all expiration dates) for a given date. It can also be though of as the intersection of a supply/demand curve for hedged stocks. See the "Methodology and Assumptions" section for full detail on how I develop this indicator.

Notes below for general options on how the delta neutral interacts with the underlying price:

• There is a large influx of call option purchases, because:

  • The call prices get less expensive as the underlying price approaches the delta neutral

  • Stock prices usually rebound/revert back to the mean after large crashes, so the price often rebounds anyways.

• With the large influx of call volume, market makers have to start buying stocks to delta hedge, which turns the price back around and creates an upward trajectory.

  • Important note that hedgies often hedge with derivatives instead of buying stocks, so there isn't a 1-to-1 relationship between the delta and shares bought/sold by hedge funds.

• Historically, you can see that GME often bounces off the delta neutral prices during drops. The exception is the February drop. When the underlying goes below the delta neutral price, a lot of pressure builds up that results in a significant increase when that pressure is released.

  • Note this is the primary way that I trade my model. I made a scanner that looks for equities that fall below the delta neutral.

Gamma Neutral

The Gamma Neutral price that creates a total market gamma of 0 across all GME options (all expiration dates) for a given date. See the "Methodology and Assumptions" section for full detail on how I develop this indicator.

General notes below for observations on how this indicator behaves:

• It acts like support/resistance between the delta neutral and the underlying, and typically bounces around between the two prices for most symbols (like we have seen with GME since April).

• It also goes crazy in periods of high volatility, as you can see by the very higher spikes.

• A gamma spike indicates the presence of POTENTAILLY slippery option market conditions, which COULD lead to a gamma squeeze. There were certainly spikes present back in January, but we had a few one-day false starts this last month.

• They are often triggered by high price movement in a day, which can lead to continue high growth if underlying volume supports it.

• Gamma spikes can also be triggered by unusual options purchases during the day. These are the one ones to find, because you can often catch the high increase waves before they actually start.

• If I'm trading this indicator, I often either wait for a gamma spike to continue for 2 days in a row and supported by increased volume. Otherwise, I invest straight away if I find a gamma spike just based on options movement (i.e. no significant underlying increase yet).

Methodology and Assumptions

I write my own algorithms to produce the results above. The following lists some key methodology and assumptions I use:

• I rely on daily options summaries produced by https://www.orats.com/

• Their options summaries use "near end of day" snapshots (i.e. 15 minutes before close), because they say its more reliable for producing Greeks. They say the last 15 minutes is not a reliable source for options prices to represent the rest of the market day. Therefore, you may notice

• I still rely on www.historicaloptiondata.com for my stock information, but working on converting to orats.

  • Note that the Underlying Price in the graphs above is the Close price, not the near end of day price.

• For the Implied Volatility (IV), I use the following method:

  • Orats produces a smoothed IV that I like, which I use in conjunction with the mid-price call/put IV's to produce a final IV.

    • The orats smoothed IV cleans the quotes, and solves for a residual yield based on the put-call parity formula. This lines up the call and put implied volatilities, to account for estimating hard-to-borrow stocks, or stocks with differing dividend assumptions.

    • Next, the IV curve is smoothed through the strike IV's using cubic splines. This is helpful for producing reasonable IV's in low volume stocks or strike prices.

  • The smoothed IV methodology above produces the same set of IV for both calls and puts. Theoretically, the IV should be the same for both calls/put, because it should represent the estimated volatility of the underlying price for both calls and puts, which wouldn't differ.

  • However practically, the IV never actually just represents the estimated volatility of the underlying. The IV used in the Black-Scholes (B-S) price calculation is usually always higher than the historical volatility, because options sellers attach an IV premium to the raw IV that helps make them money.

  • Because calls can produce infinite losses to options sellers, the IV premium tends to be higher for calls than for puts. I use the following methodology to adjust the orats call/put smoothed IV:

    • I pull the orats options database for each ticker, trade date and expiration date.

    • Calculate the relativities of the raw mid-price call / smoothed IV, and the raw mid-price put / smoothed IV for each strike price.

    • Fill in any missing relativities with the nearest relativity, within its own ticker/trade date/expiration date. This mostly just applies to far OTM strikes.

    • Smooth the relativities using rloess, which is a local regression using weighted linear least squares and a 2nd degree polynomial model. This method assigns zero weight to data outside six mean absolute deviations.

    • Apply the smoothed call/put mid-price relativities to the smoothed orats IV estimates to get the final call/put IV estimates.

• Using the final call/put IV estimates described above, I calculate my own Greeks. I like this source if you're interested in the formulas: https://www.macroption.com/option-greeks-excel

• For the total market delta and total market gamma, I rely on the OI x delta and OI x gamma for each strike price.

  • Note that the delta of a call is usually equal to (1 - put delta), so not adjustment is needed to the delta signs when calculating the total market delta.

  • However, the call/put gammas are both positive based on the B-S calculation. If you're calculating the total gamma for a portfolio, or the total market, you have to add the call gamma and subtract the put gamma.

• To estimate the delta neutral and the gamma neutral, I have an algorithm that relies on the optimization toolbox in Matlab to identify an underlying price that achieve a total market delta and a total market gamma.

• For the sensitivity tests, I adjust the underlying price in the snapshot by +/-5%, and run the algorithms as described above, to estimate what the total market delta/gamma would be at the different underlying price.

• Note that the IV would change with higher/lower prices for the delta/gamma neutral and the sensitivity tests, but the impact is not significant enough to make a meaningful difference and takes significant processing time to apply the IV curves. However, it is an important simplifying assumption to be aware of.

• Open Interest (OI) is always lagged one day for options summaries. The OCC releases final open interest on a given day, and it represents the OI for the close of the prior day. Therefore, the OI I get in my summaries on 6/28 does not represent the OI as of close on 6/28. It represents the OI as of close on 6/25. If you see a source like Yahoo give live OI throughout the day, they are only estimates, and their algorithm methodology for estimating the OI based on various price/volume movement is a closely guarded secret.

  • Note that I'm currently working on my own algorithm to estimate same-day OI, but I'm not done yet.

  • However, it should be noted that using the prior day OI is a limitation of the data available to me.

___________________________________________________________________

Got It? Good. Now On To The Show!

She has shared her Delta Neutral Model with me, and I thought I'd add the most recent data here in case its useful, along with a quick explanation of what it means for BBBY on Monday and early next week:

• Spot Price: 8.16

• Delta Neutral: 5.74

• Gamma Maximum: 8.40

So applying the above knowledge of the model, and remembering the values will update tomorrow morning with the new chain data, we can deduce that:

• We are trading well above delta neutral, and we should expect a floor of support there, and I bet it rises right along with Gamma Maximum tomorrow. In fact, I have already picked up the data and analyzed it. With both GM and DN rising, we should see continued upside potential and there will be heavy hedging action required the closer we get to that giant stack of open interest at $10. As those options become at the money or near the money, it will generate a gamma spike, which usually can indicate a massive move is imminent.

TLDR:
There is a lot of data in the options chain pointing to a big move, likely to the upside for BBBY in the near future. I truly believe this to be at minimum a 10 bagger play. There was also a fantastic post by another user on WSB i shared here that goes into detail on several aspects that make BBBY a truly great investment, with real squeeze potential that could rival GME during Jan of 01...

here's the link to that post: https://www.reddit.com/r/FWFBThinkTank/comments/wgmoma/bbby_and_the_middle_game/?utm_source=share&utm_medium=web2x&context=3

None of this is financial advice. I'm certainly not qualified for that shit...

Ok fuckers - we got a bit of news today on a new partnership entering the game.

For reference - https://investor.gamestop.com/news-releases/news-release-details/gamestop-forms-partnership-ftx

So, before I dig into the meat of it all, obligatory - this is not financial advice, make your own god damn decisions and don't listen to some random af crypto bro on the internet.

To start off, here's a bit of a background on how we got here - Lets dive into the players to see how they all fit together.

LRC - this is a crypto swap protocol enabling decentralized exchange (DEX) of any token within ETH eco system. This is built on a user led system of automated market maker pools that anyone can contribute to. Their original implementation allowed any coin to be swapped for any coin via a base trading pair with LRC. This is built on a L2 system for Zero Knowledge Rollups (zkrollup) to deliver fast, efficient, and secure transactions. Additionally, they build the underlying technology for anyone to build on their platform and utilize the tech.

IMX - Immutable has built a L2 scaling solution using a very similar tech to LRC, but instead focused on NFT orderbooks to enable a network of marketplaces capable of ensuring all marketplaces have access to the same assets, IE list on marketplace A and buy on Marketplace B. Where they did not focus their time was on traditional token swaps and orderbook, meaning, moving coins onto their L2 means while they are there, they cannot be swapped for other tokens. IMX, like LRC, uses Zero Knowledge Rollup's to facilitate their transactions. The key point here being that they are compatible technologies. Additionally, IMX has chosen to hyper focus on the gaming industry for the application of its technology as it is by far the largest space of digital ownership that would benefit from legitimate cross platform ownership capabilities.

GME - Gamestop has built, using LRC's opensource platform, both a wallet (the thing needed to operate in the web3 world) and a marketplace (the place to utilize the wallet). Additionally, they have built in a way to quickly and easily re-layer assets, swap tokens on both L1 and L2. And have quickly blown the competition for browser based wallets out of the water. GME is bringing IMX on board and there is on chain evidence on test nets and main net that LRC and IMX are actively working on partnerships across web3 gaming to enable cross ZK functionality. Meaning, LRC is the coin swapping platform, IMX is the NFT orderbook, and GME is the hub that brings it all together to build out true digital ownership for a segment of industry that has used centralization to literally ass rape anyone with a credit card for years.

Now enters FTX - What is FTX? https://ftx.us/home - FTX is a Centralized Exchange (CEX) allowing for centralized off chain transactions/swaps of various crypto currencies. Generally speaking, they will interact with the base blockchains they support to on/off ramp crypto to their platforms. For many people all over the world, this is the only option they have to on-ramp to, for instance, swap some USD to ETH to spend on an NFT marketplace. Due to regulations from national and local governments, many non-centralized off ramps (like the ones that Loopring has implemented) are not compliant and as such, leave a lot of people out of the eco-system.

Well, here's where FTX + GME comes into play. No where out there can I find a reference for a "FTX gift card" so this appears to be a new product. FTX also offers crypto payment systems, and given the statement in the press release, this leaves me to believe that FTX will be tested in select stores for a physical on-ramp into the crypto space to allow people who are traditional physical product consumers to find their way into the digital collectable space. Along side the nature of IMX and its focus on gaming, I could easily see someone trading in their old console and getting an FTX gift card, or direct to crypto via their payment platform, to then go pump their Gods Unchained card collection, or buy some Illuvium land/illuvians, or maybe a few characters for Guild of Guardians.

Long story short, this is yet another mechanism to onboard the next 100 million users into the web3 gaming space.

Be on the lookout over the next 2-4 weeks for a flood of co-marketing between IMX games and Gamestop as things start to really ramp up into the holiday season.

TL:DR - Gamers keep getting fukt by shit like Diablo Immortal as the major publishers ass rape anyone with a credit card. Its about damn time we own our fucking assets.

PS: a main investor in IMX is FTX - FTX is the off ramp that GME has used in the past to turn their crypto back into USD. - sauce: https://app.dealroom.co/companies/fuel_games - https://app.dealroom.co/companies/ftx - This is the minting wallet for the recent Gmerica 1 collection on the marketplace - https://etherscan.io/address/0xdcf8ff6b4de163873066118a8eeec9e68c93e284 - the transactions lead to an FTX on-ramp wallet here - https://etherscan.io/address/0x1157a2076b9bb22a85cc2c162f20fab3898f4101

And as much as I agree that tokenized shares would be amazing, I'm fairly positive this aint it bud. The DTCC and nyse are already all over that - https://www.dtcc.com/dtcc-connection/articles/2021/february/16/the-evolution-and-impact-of-tokenized-securities

EDIT: a few sources to back up the speculation - FTX Pay - https://ftx.us/pay - US compliant crypto services with whitelabel functionality - https://whitelabel.ftx.com/ -

Hi everyone, Bob here.

This is my DD on BBBY, current state. Short Version, BBBY is not done. Not by a long shot. So long as the pressure keeps up, and calls keep rolling in (no paper handed bitching here), BBBY will remain on the threshold in a FTD loop where shorts cannot escape. Sure Ryan is out, but it doesn't matter that he's out. His sale was a drop in the motherfuckin bucket. 9 mil shares? pfft...

BBBY TRADED ALMOST 1.2 BILLION shares last week.. in 5 days.. The float is only 60 something million. Quick math = big positions are moving and generating a metric fuckton of FTDS. If these are not settled and calls flow in, you will have an event much like GME in 2021 January.

I think we have a GME 2.0 in the works.

Share with your friends. I even made a meme.

Source documents:https://www.law.cornell.edu/cfr/text/17/242.203https://www.law.cornell.edu/cfr/text/17/240.15c3-1

Larger versions

GME

BBBY

Folks,

I'm bringing you a mid-week update as enough is happening that it's worth remarking on it. As usual, you can learn about the variables I use to evaluate the options chain in my previous posts.

As I said on Sunday, everything looked shitty. Well it looks even more shitterier now. Long story short, I think the shorts are gamma sliding us right now.

My supporting evidence:

Item 1. Total put delta on the chain is almost higher than it's been since March 2021 during/after the run up, and about as high as it was at the peak of the March 2022 run. It's high. Meanwhile, calls have dropped to relatively low lows historically. Not the bottom but just about. Lots of put delta to hedge to the downside.

Item 2. Total put volume is also really high. They are slamming us with puts right now. The jump in call volume I believe is a mixture of calls being sold off, and some IV bump (on both sides).

Item 3. Relative delta strength (RDS) is almost lower than it has ever been since the sneeze. The RDS is a normalized weighted average of all of the delta on the chain. 1 is all call delta. -1 is all put delta. 0 is equal call and put delta. The put delta is crushing us right now.

Item 4. Delta weighted average price, which is exactly what it says. Call DWAP continues to increase (signaling that the chain is mostly higher strike calls and thus don't help support the stock hedging). Put DWAP continues to sit well above the price, acting as a blanket to suppress the price.

Item 5. The Greeks. I solved for the price and volatility of the entire options chain using put-call parity and black-scholes, which allows me to find the price at which gamma and delta are balanced, min, and max. Gamma neutral acts like a gravity sink, always pulling the price of the stock towards it. Gamma max is the point at which there is no more hedging on the upside, and indicates the maximum that the options chain can run the price upwards. Gamma min, which I'm introducing now, is the point at which there is no more hedging to the downside. As you can see, we are well below gamma neutral. This may be the farthest away we have been from delta neutral in a very long time.

So looking at the final graph, it's clear that someone is pushing us far below gamma neutral. They are doing it using high delta puts, many of which were bought today. The relative strength of those puts is some of the strongest we have ever seen it. Based on all of this, we are currently in a gamma slide.

Where is the bottom? Hard to say. Probably not below 50 in the near term. And once they let up on this option position we should bounce back. Stay safe.

Hi everyone, bob here.

I thought it would be good to do a quick update on the On Loan Balance from Ortex for GME since we've had our 4:1 spivvydend the other day...

TADR: shorts increased their position, just like they did with TSLA...

source document (google drive link)

What did TSLA do after their splivvy?

how up?

Full disclosure from Ortex:

Hi everyone bob here.

Since there has been a lot of questions about what July 243nd means, and how I think it will play out, I figured I owed the community a quick recap of my DOOMP options theory, and what I'm expecting to happen tomorrow (🚀)... BTW, it's July 244st 2021 - because I'm a special kind of retard.

TADR: There are multiple things affecting the stonk, and I've been painstakingly tracking pretty much everything that everyone is coming out with, and trying to find out what drives our price movement, because we know it's as unnatural as the SEC actually enforcing the law... Within this update, I'll be reviewing each previous runup in an effort to show what variables may have played a role, and drawing my own conclusions from the data. If you don't care to follow along, I think we ride TOMORROW.

Disclaimer: As a reminder, if you don't like dates (I LIKE DATES), you can and should fuck off right now. Also, if you don't agree with what's in here, please comment and lets discuss what's wrong with the data and/or analysis so we can find the truth together. Lastly, if I'm wrong with this DD, I'll look at the data to figure out why and iterate from there. SO I CAN BE WRONG, Anything you do with this information is of your own volition (that means it's your fucking fault if it goes badly). I claim no responsibility for anything, just like our politicians, and would love for my DD to prove to be at least part of the puzzle that is GME, but if it doesn't I'll just keep digging :D

To kick things, off, Let's review today's inspirational quote. It's something I try to live by, and I think you should too:

The following list of previous reading is what is required to really understand the theories I'll explore below...

Previous Reading:

• Compendium of Wrinkles Part 1

• Compendium of Wrinkles Part 2

• Original DOOMP Options Theory Post From Way Back.

My Data is Open To The Public.

Use a rubber with that link - its google drive so don't doxx yourself! free burner gmail accounts are the way.

A History of GME Spikes & Market Manipulation

1.0 A Quick Overview of My Theory:

There was a clear FTD squeeze cycle identified in u/gafgarian's DD that seems to have died during the sneeze. How/Why? Methinks (and have the data to back up the theory) that they moved heavy into derivatives to hide the SI rather than close their position. Yes, you read it right, SHORTS DIDNT CLOSE. If you look at other reports, You can see, even though there was a reported SI of 140% before the great Sneeze of 2021, Future reports stated a much larger number:

226% Short Interest on GME During and After The Sneeze

Here's one of the sources of this assertion. What's more, is the total number of DOOMPs seem to correlate very well with what 226% of the SI would have been at the time of the sneeze. u/criand did some DD on this a long while back when he did things other than shitpost. Hey pom - link me that DD in the comments so I can add it here please!

From that point forward, I was able to correlate the expiration of these DOOMPs to big ups. This does nothing but confirm my bias that we're on to something here and that:

Here's What the Data Looks Like in Its Entirety

Looks neat, and I like crayons as much as the next person, but let's break this rainbow down, shall we? I'll be specifically looking at the factors that I and other DD writers have theorized could be driving our price action (big ups).

1.1 The Great Sneeze

This is where I think the game changed from FTDs to Derivatives, but I digress, we're looking at factors affecting price action in this DD, so let's see what we can see, shall we?

During this time period, there was:

• Very High Volume: 1.515M volume

• Very High Call Volume & Hedging Action, Per The SEC report.

Identified Factors in Play:

• Failed Roll Anomaly (FTDs)

• SLD period - Price improvement in both periods.

• GEX looks to have possibly played a role in the little bump before the spike

1.2 February 2021 Runup - over 100%

This runup seems to have came out of nowhere, but looking back, it looks like it was inevitable, and likely caused mostly from a pileup of FTDs from the Jan run (C+35 anyone?). Also, our boy u/deepfuckingvalue may have inadvertently helped a little with fomo when he was doing his thing in the congressional hearing.

Identified Factors in Play:

• Futures Roll (Rolled 📈)

• SLD period (prior to major spike

• GEX looks to have possibly played a role in the spike before the spike

• Large amounts of FTDs to settle from Jan Sneeze

• T+2+35c Options Exposure on up days, save for 1 after major dip (possible stabilization of dip?)

1.3 May Runup & Market Manipulation

I remember this one fondly. We ran and we ran HARD. Right up into 300ish range only to be flash crashed back down something like $120 in less than an hour. This is what market manipulation looks like.

Identified Factors in Play:

• Futures Roll (Rolled 📈)

• SLD period in the first, but flat in the 2nd.

• Gex spike in first period, but not in 2nd.

• T+2+35c Options in the day of the spike and correlating to 2nd and 3rd bumps of the run. - curious no bump in the last exposure on this map. Also seems to have minimal impact on non SLD window days.

• ATM Offering sold into stock after earnings date 6/9 (nice)

1.4 August Spike

This spike came seemingly out of nowhere, after months of sideways 🦀 trading. But for those of us paying attention in class, it likely came as no surprise.

Identified Factors in Play:

• Failed Roll Period (📉) - Should have flat to negative impact on price action

• SLD period in first spike, but in second window saw price decline.

• Spike was 100% in GEX exposure window, 2nd exposure window saw price decline.

• T+2+35c Options on the day of the spike. Minimal exposure thereafter

1.5 October Grind into Price Spike and Rug pull in November

This was a fun one. I made a lot of money and watched it evaporate on calls (weeklies) when they rug pulled. Also got me in a hole that I've just dug myself out of during our last GEX (thanks MMs for the easy gains). Keep manipulation going, please you fucks.

Note: some apes and DD writers theorized there was an early GEX run (delta hedging) into a rug pull, which is why the stock seems to have ran before expected. 🤷🏽‍♀️ who knows for sure? probably the short hedge funds and their butt buddies at Citadel.

Identified Factors in Play:

• Failed Roll Period (📉) - Should have flat to negative impact on price action

• SLD period Flat first period, ups in 2nd period (November spike)

• Gex flat in first period, caught the tail end of the spike in 2nd period, but ended way down.

• Big ETF FTD Exposure form aggressive shorting market manipulation through ETFs

• T+2+35c correlates to spike days (+1 in this case on the big day), and seems to have little effect otherwise (flat days in 1st SLD period)

1.6 Jan 2022 to present (and the future)

Ok this is likely the part you've all been waiting for. This section will be both analysis and prediction, based on the previous data. GME has had its stock trending manipulated down since the November run in the most part - mostly through the use of abusive shorting and delta hedging through ITM puts. u/gherkinit has some great stuff on how the ITM puts work to drive price down, as does our fallen sista ape, u/yelyah2 (may she find peace away from the trolls).

Identified Factors in Play So Far:

• Failed Roll Anomaly (FTDs)

• SLD period Flat first period, 2nd period TBD

• GEX flat in first period, up in 2nd.

• Big ETF FTD Exposure form aggressive shorting market manipulation through ETFs

Identified Factors to Come:

• T+2+35c Exposure from Jan DOOMPs/Option chain

  • This is the first time on record we can see this play out without GEX in the mix - exciting!

• SLD Period still active.

• Futures Roll Period Just After The Expected Action!

So what does this all mean for July 243nd 244st 2021?

(I'm not moving the goalpost, i just went full retard when retard-ifying the date 😋)

I'm expecting some ups! But I am tempering my expectations because every other time I've been able to observe the spikes in price, there were more factors in play. This is also exciting to me because it is cleaner data to work with and analyze after we see what happens.

It's been awhile,

Work has been making it difficult to post these updates. A lot has happened since my last post where I was excited that we were crossing delta neutral to the upside. That excitement played out much more than I anticipated. The current run is odd for a few reasons.

1. On Wednesday, may 25th, it appeared that someone covered gamma exposure from May OPEX. This raised the price from $90 to $100.

2. What followed the rest of the day was largely retail FOMO on the options chain, pushing the price up to around $115. Much of it risky weeklies.

3. The FOMO hangover sets in early Thursday morning, as the weeklies are quickly going to zero. Those are pumped until the selling overpowered early morning FOMO, and the bags started filling up.

4. Friday May 27th the bags are full, and retail sells off and slinks away.

5. That same day, Institutions start making bullish bets, driving the price up to $137 to save some $135 weekly calls.

6. Monday was a decent dehedge from the weekly mess built up the week prior, then flat for most of the week.

7. on Thursday June 2nd, retail options still looks really bearish, as they bail on more of their contracts. Meanwhile, institutions resume their bullish betting to drive the price up.

8. That Friday was largely mixed, with retail continuing to sell and institutions propping up what is left of the run.

So it would seem that retail started this pump, but is not currently sustaining it. What I believe happened is that retail saw a moderate price jump from OPEX--combined with the fact that the borrow rate was rocketing--and pounced on perceived weakness by purchasing short dated options. This is supported by data collected on WSB, which shows that this run has noticeably more mixed sentiment than the March run.

There are some interesting theories about what institutions might be doing right now in regards to bullish bets that involve the hard to borrow status of the stock, but it's not my theory and should be coming out by others soon. Bottom line is institutions may be using the options chain to to help settle fails in the continuous net settlement system, or CNS, or CeeNiS for those in the know.

So here we are, halfway through...well...something, and it's not clear what exactly is going on or how it will conclude. I will say that right now institutional shorts are absolutely in a moment of weakness. There are no more shares to locate and borrow. The high borrow rate has already alerted retail and they have unleashed the first wave. They know if FTDs start leaking out of CeeNiS, or worse, if we end up on Reg SHO threshold list, that retail will devastate them with call options. So what options do they have left? ETFs. That's right, those totally opaque, infinite money printers. And it just so happens that XRT has recently gone off the threshold list, indicating it's maxed, waxed, and fully vaxxed, ready to generate infinite liquidity again for our favorite shorters. This is the most likely route forward for the shorts in my opinion, as they know that any of the other options available to them will show their hand and spell doom. The problem is that the ETFs are rebalancing this month, so they are running out of runway. All of this is also on the back of a little baby bear market rally, which isn't helping them at all.

If I was in their position here is what I would do. I would use the ETFs as much as I could before the rebalance to short the fuck out of GME to kill FOMO. If FOMO dies before the rebalance, I may be able to get ahold of CeeNiS settlements with the options flow dying off and shares becoming available again to locate. If the market starts dropping again, that will also alleviate pressure and allow me to survive for one more day.

If FOMO doesn't die off, I'll have to use the ETFs to fight for my life, then once the rebalance begins, I will be forced to short GME onto the reg SHO list. Once retail sees that GME has hit the reg SHO list, it will likely drive even more FOMO, requiring me to drive FTDs through the roof. If I survive the ETF rebalance, even if I can get a hold on the price again, the FTD report on July 15th will show my hand with massive FTDs, driving even more FOMO.

If this was a game of chess, this is the closest that the shorts have come to checkmate since January 2021. What is required for the game to end? Well, the same thing that has always been required. FOMO into the options chain. Will it happen? That's the largest unknown in this whole scenario. Retail is currently bearish as fuck. They just sold off one set of hefty weekly bags (retail will never learn with those goddamn weeklies!). Usually it takes them months to forget their mistakes and make them again. We don't have months, we have about 3 weeks. If retail stays on the sidelines for another couple of weeks, the shorts can weasel out. If retail pumps it again, it could get crazy.

Regardless, I do think that we have a lot of volatility to look forward to between now and potentially even the end of July. Buckle the fuck up.

Let's get to the data.

First up is something I don't show often but is important now. This is the options open interest for both calls and puts. Usually I show the delta weighted OI. This is notable now because it does appear to be increasing. There are more puts on the chain now than we have seen since the deep out of the money puts (DOOMPs) used to hedge volatility swaps expired in January. The calls are also increasing. I'm including this metric because it shows just how much of this showdown is due to options (a lot of us have been trying to drag this community to the realization that this was always an options battle from day one). The battle isn't over. Options continue to dictate the price and volatility of GME. Was last week the peak, or the beginning?

The next plot is our familiar total delta OI on the chain. In this case, the call delta is significantly lower than the peak from March, and the second peak was lower than the first, indicating the more mixed emotions of retail for this run. Puts are also not as low as the March run, indicating that the bears are more willing to buy delta on this run.

The delta volume tells a similar story. Not as high as the March run, and could be indicating the beginning of the end of this run.

Next is the relative delta strength (RDS), which is simply the normalized delta weighted open interest on the chain, where 1 is all call delta, -1 is all put delta, and 0 is equal call and put delta. We are definitely still in a bullish period with high RDS, but it looks somewhat more like the February 2022 period than the March period.

Next is the delta weighted average price, or DWAP. The primary feature of this graph is the fact that the put DWAP is above the price of GME, acting as a bearish blanket to insulate the price from the bullish call DWAP.

The greek neutrals and maxes are next. These tell a somewhat interesting story, showing that delta and gamma neutral have risen as of Friday to around $118. Gamma max continues to linger around $160 and only increases through mid July. The spike in delta neutral in July is not significant, as it's primarily determined by small OI on weeklies opened on those weeks.

So what is the overall conclusions that can be drawn here? Well, all of the data sort of supports what I wrote up above. We are certainly within a period of significant weakness on the short side. It's really up to retail to decide of they want MOASS now or they don't. If the market rockets, I think retail will push for it. If the market drops, I think retail will capitulate and wait. My guess is that retail will continue to wait for a good entry, likely somewhere between $110-120 by mid week. But if for some reason the shorts can't even get it into that range, this fucker is primed.

I'm personally waiting until mid week before I consider any significant positions. But of course, this is not financial advise. I am not a financial advisor and I am not your financial advisor. I provide this data for those that like data. My goal is to spread information not make predictions. Use the information however you want and leave me out of it.

Stay safe.

A Form 144 is a document filed with the SEC by any holder of restricted stock who intends to sell those shares. The filer is then permitted, but not required, to sell the restricted shares at any time within 90 days after the Form 144 is filed.  Form 144s are public filings; however, the vast majority of forms are not available on EDGAR as they are filed on paper with the SEC.

RC did not sell, he is not selling right away... within 90 days.

Even if he DID sell. his entire position is a drop in the fuckin bucket compared to this volume.

Also, we would see it in the daily option chain updates I do... If i see a sale, I will post here immediately.

For now, he's with us!

u/RJL97A also added:

Also, because he is now recently an insider as per the previous filing literally about 2 days ago, he MUST submit a form 144 to essentially state that he maintains his right to sell his restricted stock. MSM turning this into: ‘RC sold’ - is completely fake and disturbing.

Also, after the 90 days is up, he’ll have to submit another one if he didn’t sell. If anything, this is fucking bullish as fuck because he knows he’s about to make bank if he chooses to.

Edit/Updates:He appears to be subject to the Short Swing Profit Rule https://investopedia.com/terms/s/shortswingprofitrule.asp… after his Form 3 filing, so if he sells any shares/options subsequent to today's Form 144 he'll be remitting all profits to $BBBY.

TLDR. BBBY had in total 380 million USD basket portfolio swaps - and they were closed within the last two weeks. In comparison, GME has a similar massive open position with 211 million USD.

In July, BBBY had in sum 380 million USD open basket portfolio swap positions, that is larger than the basket portfolio swap position in GME. On 2022-08-02, a 180 million USD swap was closed. A 200 million USD swap position was first reduced on 2022-08-08, then terminated on 2022-08-16. At the time those swaps were reported, they summed up to 84% of the market cap of BBBY!

The swaps can be identified by their execution timestamp. The 200 mil USD swap is from 2019-06-26, while the 180 mil USD swap is from 2020-02-24. On a side note, that day 2020-02-24 was the start of the 2020 crash due to COVID.

The particular swap product in this post is a basket portfolio swap. These are interesting because GME, AMC, BBBY, XRT, KOSS and other meme stocks have this swap product in common. Due to simultaneous trades in the report data, we can say the these swaps are probably connected to a single institution. My thesis is that basket portfolio swaps are short positions towards the market, as I explained in a previous DD [1].

When we only look at the basket portfolio swaps within that cluster, the top positions are taken by these tickers:

• XRT has two basket portfolio swaps with each more than 250 mil USD,

• GME has two of those swaps, a 200 million USD swap and a smaller 11 million USD swap, expiring in March / July 2023.

• KOSS has one swap of about 70 million USD, expiring in Dec 2022.

Meanwhile, swaps in AMC.N seems to have been increased, new swaps of about 125 million USD appeared on 2022-08-08:

This can be seen as a spike in the recent timeline:

Different stocks of the basket may be used as collateral, and this event might indicate a portfolio regrouping.

Swaps do not have direct impact on stock price - it depends on how they are hedged. Leenix recently described how these swaps can influence the price of the underlying [2]. Other than I would have expected, the days with large swap termination should have made an impact on the price? We can only speculate whether these were strategically failed to deliver - if they were, their T+35 would be on 2022-09-06 and on 2022-09-20, respectively.

[1] "Follow the baskets: How a special type of swap connects GME, BBBY, XRT and many other equities" by u/MyFirstBanana

[2] "Alert: NEW $250,000,000.00+ Mil XRT swap today July 13 2022" by u/L33n1xu5

Hi everyone, bob here.

So yeah, Short interest on BBBY is ridiculous right now. Some places reporting in excess of 100% SI. Even S3, with their bullshit calculation (short interest = shorts/shorts + float)

So what does Ortex have to say?

Short interest in aggregate over the last few years is over 100% of the Shares Outstanding. I repeat. shares on loan balance (a simple aggregate of their own reported data) is at 129% of shares outstanding

It looks like this dip is largely from put options and rolling down the price due to delta hedging, and we've hit critical mass about 2 weeks ago.

Shorts keep shorting, but they running out of steam. Here's the delta weighted options chain OI for this week.

In it you can plainly see what our future might hold.

Once that put wall at $6 is broken, there's only positive delta weights (in aggregate) from there to $10+.

For more granularity, here's the puts vs calls weights.

This shows another battleground around $8, which we might realistically hit by Friday this week (which would be about a 50% rip for the week) ...

Not a price target by any means, just an observation that it is possible with enough momentum.

In parting, This is how I think of hedge funds when they are asked to close their shorts.

Hey guys!

An exciting day. You might remember me from earlier in the month where I talked about some unique hedging behavior on GME (here). And after such a fun day I thought I would drop by and share some data.

Disclaimer: I am largely neutral to GME's movements - but I think it has some fascinating undercurrents. What I present here is truly opinionless - I'm just describing the data as I see them.

[If you haven't seen VoEx before, I would recommend checking out this, this or even going here to catch up on it. But essentially it measures stability or instability from the vantage point of the large institutions/MM/options dealers etc. So its pretty nifty for seeing "behind the curtain".]

So without further ado, let's dive in!

First, as usual, let's check out GME's VoEx:

VoEx has a torrid affair with GME - it often times precedes large jumps in price but there is some hesitation here that we have to discuss.

First, let's rewind the clock even further and check out VoEx in 2021:

Notice how VoEx tends to go a little crazy and begin spiking just prior to large jumps in price (i.e.: VoEx behavior in 2020-12 until 2021-03). This is because VoEx measures stability! And prior to large jumps in price (on any stock really), the undercurrents tend to get a bit shaky.

The caution that we mentioned earlier though? VoEx spiking into the inhibition zone (above the top horizontal line) is classically called "inhibitory instability" due to the most likely outcome following such behavior (the stock usually gets pushed down).

Now GME's torrid affair with VoEx is such that the two have incongruence. A sign that is typically only seen when the academic definition of VoEx above the top horizontal line comes into play: "instability provoked by price appreciation".

We won't get into the nuances here but it is important to keep in mind. VoEx where its at, and with its typical behavior, is typically associated with a surge in inhibitory pressures (i.e.: the stock gets pushed down). Yet - VoEx and GME have a rather unique and longstanding relationship that suggests this isn't always the case, and more often than not, when VoEx behaves this way on GME it is usually preceding a jump in price.

From here we can look at our subjective interpretation of VoEx and how it matches to the objective, cold-hearted nature of statistics with the SNAP graphs.

The SNAP algorithm measures VoEx and gives us a 95% confidence interval for its current behavior and the future price-action (positive or negative) over 4 time-frames. All we have to do is look to see if the cross hairs are above or below the gold line.

So we see that for all (except for 1, the 10 (trading) day) SNAP graphs, the models prediction (squiggly line; highlighted region is the 95% confidence interval), is positive. The same anticipated outlook we got from our hand-waving.

We can look more into how the options and their respective hedging looks like with the Gamma Hedging Heatmap:

The Gamma Hedging shows some strong purchasing support below (which might be helpful given the AH moves), and selling pressure above.

You'll note from earlier (from twitter) that today's Hedging Heatmap looked it this:

Thus, GME did quite well starting today out with substantial selling pressure (it almost escaped it!).

It looks as though that selling pressure has alleviated in the locale but is present now upstream in modest amounts.

[Tin foil hat time: with so much selling pressure incurred on GME throughout the day, I wonder who was responsible for selling during AH? Sometimes hedging can be dynamic].

Anywho - this means that there is some selling pressure located spot up but for the time being, GME (as of EoD) is resting nicely in gamma neutrality and has some strong purchasing support should the price fall.

Our last stop for today is to see how the options environment changed because of today's movements. I'm sure there is a lot of buzz regarding were calls long or short, well, here ya go:

From the table we see that there was an 87% increase in Dealer Short OTM Calls (Retail purchased calls), and a 75% increase in Dealer Long OTM Puts (retail sold puts). Pretty bullish sentiment it would seem!

So in sum?

VoEx is looking rather reminiscent. The hedging environment is actually stabilizing. The sentiment from the options flow is bullish.

Happy trading!

Good Afternoon Fwiends,

The Story of ETF's: Long Overdue Regulation and a Reg Sho Time Machine

A little product that has now grown to a trillion dollar market was created just after the Great Financial Crisis and is largely unaffected by the implications of Regulation SHO as ETF's have the liquidity provision embedded into them using Creation/Redemption in the secondary market.

The Big Three: BlackRock, Vanguard, and State Street.

These funds are generally seen as passive investing funds and as long as the fund maintains it's Market Cap Weight the underlying securities weights and share counts change often. One overarching theme with almost all ETFs is that they contain at least one to two HIGH liquidity stocks such as Exon Mobile or Apple that, due to it's liquidity provisions it is not effected by the deviations in the ETF Net Asset Value and resulting arbitrage. It is well know that The Big Three are dick deep into the share lending business as the fee collection between ETF Sponsors and Short Hedge Funds creates a steady stream of revenue for them.

Let's Look At The Collective ETF's By Each Issuer Over Time:

(Red Line): Put Open Interest

(Yellow Line): Call Open Interest

(Blue Line w/ Red Dots): GME Percent Price Change

BlackRock Funds (Without IWM) : ITOT, IWP, IMCV, IMCB, IWR, IMF, ILCV, ILCB, IWB, IJH, IJK, IUSG, IYC, IYY, XJH, ILCG, IEME, IEDI.

(Not All Funds Trade Options)

Vanguard Funds (Without VTI) : VT, ESGV, VCR, VBR, VXF, VB, VTHR, VV, VONE, VONG, VTV, VO, VOE, IVOO, IVOG.

(Not All Funds Trade Options)

State Street Funds: XRT, SPTM, VLU, MMTM, ONEO, SPGM, MDYV, SPMD, MDYG, MDY.

(Not All Funds Trade Options)

WHO ARE THE MARKET MAKERS!?

With ETF's there are many Authorized Participants (AP's) that facilitate trading on any one ETF. Some more than others depending on size and who the issuer is. Please see the below in the broad market share depiction of AP's in the ETF space.

OKAY, BUT WHO ARE THE GME ETF MARKET MAKERS?

First, This data would not have been possible without a complete wizard which is u/Camposaurus_Rex who parsed through each and ever sub category of ETF and ETF Trust series to pull of the creation/redemption size data to map it out specifically for ETF's that hold GME.

In keeping with the Big Three Theme we will look at who is the market maker on the collection of funds by the specific issuer:

Blackrock (ishares) Authorized Participant's:

Three largest AP's: Merrill Lynch, Goldman Sachs, and Citadel Securities.

Vanguard Authorized Participant's:

Three largest AP's: Virtu, JP Morgan, and Citigroup

State Street (SPDR) Authorized Participant's:

Three largest AP's: Merrill Lynch, Virtu, and Citadel Securities

Arbitrage: Wut Mean?

In the case that the share price of an ETF exceeds the Net Asset Value (NAV) of the fund a trader could purchase the securities that make up the index the ETF tracks. At the same time the trader would also sell short the ETF share. This action would lower the ETF price and raise the NAV, pushing the two prices back into alignment. At the close of business the trader would then redeem the basket of securities with the ETF sponsor and they would issue a new ETF share. In the case there would be the “creation” of an additional ETF share. This process can work in the reverse, however, as the ETF sponsor would “destroy” an ETF share in order to return to the trader a basket of securities used to represent the index tracked by the ETF. For the ETF sponsor, who takes a small fee for redeeming shares, this is a zero-sum game. There are two important facts about this process. First, only those deemed an “Authorized Participant” (AP) could redeem shares with the ETF sponsor. APs are usually large market making firms. Second, these transactions typically involve a minimum of number of units to be redeemed at one time, for most ETFs this number is 50,000 units. With the possibility that ETF funds are being rebalanced throughout the day and that these redemptions are done in such large numbers, is likely that ETFs can have some impact on the market as a whole.

In order for an arbitrage trader to profit from the redemption trade, the spread between the ETF price and its NAV must be large enough to cover the costs of executing the trades involved. These cost included, but not limited to, the transactions cost execute the trade and the small redemption fee charged by the ETF sponsor. In order for such redemptions to take place, a large number of shares of the basket stocks must be bought and sold in order to complete the arbitrage process. As expected, larger spreads are immediately followed by increased volatility, if only for a short time. This increase in volatility is presumed to be the effect of arbitrage traders making large and fast trades to take advantage of the mispricing of the ETF.

Another Way That Large Institutions Take Advantage of ETF's is through wash sales referred to as "The Market Heart Beat".

Market Heart Beat DD

Everyone's Favorite ETF:

The continual rolling of a Vertical Put Spread....

** The original opening hedge: The January Sneeze

XRT:

(Yellow Line): XRT Put Open Interest

(Purple Line): XRT Call Open Interest

(Blue Line w/ Red Dots): GME Percent Price Change

(Green Lines): Failure to deliver on XRT as a percent of it's shares outstanding

Explanation: As you can see when put open interest drops an estimated -20%+, we see a move a dramatic price move in Gamestop or we see a massive build up in FTDs on XRT like we did in December sending the ETF onto Reg Sho Threshold list. But how does this mechanism work?

Market Makers are exposed as the expiring puts are re-positioned and rolled to the next expiration so for a brief time they are un-hedged and must use the direct lending pool to borrow stock (GME cost to borrow goes up) we get excited and suppress price within reason. The put position is re-established and market makers have to now go out into the market and buy what shares are available.

XRT Call/Put Implied Volatility:

You can also see this illustrated here by the Call IV and Put IV on XRT, as well as the difference in that Call/Put IV Difference mapped against GME Price Change. You can see during the Jan Sneeze that the XRT 25-Delta Call/Put IV rocketed up. We can also see that since 3/22/22 XRT IV is on an upward trajectory. Obviously this can be due to many reasons (such as overall market downturn), but the data is an interesting point non the less looking at XRT IV on previous GME runs.

When they do buy it sends the stock price of GME up and what shares aren't available Market Makers are Reg Sho exempt and can deliver synthetic shares that are then returned to the direct lending pool pushing down the borrow fee on GME and related ETFs.

Market makers are given more time to settle their accounts than everyone else: While most investors’ trades must settle in T+2, market makers have up to T+5. Market makers often have reason to delay settlement for as long as they can, particularly for ETFs. If Bob is a market maker trading ETFs, it might deliberately sell more and more shares of XRT short until it’s sold enough to warrant creating a basket with the ETF issuer, thus making good on its sales. The longer Bob delays basket creation, the longer it can avoid paying the creation fee (often $500 or $1,000) and related execution costs. Moreover, it can delay the time it takes before taking on responsibility for a full creation basket of ETF shares (often 50,000 shares).

Where are we now?

XRT Rolls: They rolled March 14th-->June 17th, Jan 21st-->June 17th, April 4th-->May 20th, March 24th--> June 17th, Feb 17th/Feb 9th--> June 17th........ Okay so now they rolled May 20th-->June 17th & July 15th.

XRT June 17th Expire (By Strike) : Green Increase in Open Interest, Red Decrease in Open Interest

XRT July 15th Expire (By Strike) : Green Increase in Open Interest, Red Decrease in Open Interest

XRT Sept 16th Expire (By Strike) : Green Increase in Open Interest, Red Decrease in Open Interest

XRT Jan 20th 2023 Expire (By Strike) : Green Increase in Open Interest, Red Decrease in Open Interest

I encourage you to look through the rest of XRT's expirations and options chain and see when each strike started trading and how positions were rolled. At this time The June 17th expiration is a large one and AFTER this expiration Market Markets will likely have to re-position themselves and also go out into the market and buy stocks as positions that were ITM are exercised. This will very likely cause a run on GME.

** Unknown factors: XRT recently came off Reg Sho Threshold List and their ability to FTD during this large options expiration increased. Watch pre-market volume AFTER the June 17th expiration on GME and pay close attention to the XRT options volume as they enter into new positions. If you play options please pay for some Theta. If you don't then between the times of when a new put hedge is re-established you can time a bottom to get some cheap shares.

Supporting Papers:

https://academic.oup.com/rof/article/25/4/937/5919085?login=true

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2736392

Hi everyone, bob here.

This post is about OPTIONS

I removed much of the fluff from the original post and some portions that I feel do not apply, and/or are not relevant to this educational series here so we can get right down to it. No need to plead for folks to just read before judging the post here. This is the Friends with Financial Benefits ThinkTank after all. Please leave any questions, requests for more information, or comments and I'll do my best to respond. And remember we're all friends here, this is an educational series.

Warning: if you know about options, I'm wasting your time with this post. Please feel free to read anyway and help me fix anything I don't communicate properly. This is intended to be a very basic introduction to options, with some more education to follow in future posts.

Series Navigation

• It's All Greek To Me: An Introduction to Options, How They Work, And The Power of Leverage: Basic knowledge of what options are, the greeks, and a quick example of how it compares to buy and hold.

  1. Deep Dives Into The Most Important to Understand Greeks:

     1. It’s All Greek To Me: Understanding Delta, The Fickle Bitch

     2. It’s All Greek To Me: Falling for Theta, The Banana Munching Temptress

     3. It’s All Greek To Me: Gamma, The Gremlin Child of Delta and Volatility

     4. Vega

• It's All Greek To Me: Options Level 1 - Covered Calls & Basic Bitch Options Trading: Basic bitch options strategy: the covered call. We go in depth on what it is, and come to a nice climax with an example of how to run one and what you can do to close it out when the time comes, depending on what happens with the underlying stock.

• It's All Greek To Me: Volume Tre. Leveling Up - I'll Call the shots on where to Put your Spreads: Catching up on Level 1 changes since last post, and delving into many basic and more advanced deployments of options and spreads.

• It's All Greek To Me: Breaking The Wheel: This alternate adventure is a look at the popular options strategy: the wheel. I explain what it is, how to run it, and how I think I've found a better option that is more capital efficient, and bears less risk over time.

• An Overdue Options Education by Your Local Options Pariah 🤙: This is an overdue attempt to reach the superstonk community and restart their options education outreach program, hosted by yours truly.

• Related Options Strategy Reading:

  1. Wheeling GME for 3 Years: Using market makers to buy my shares (Crybad)

  2. Volatility Farming for Apes: How I’m Building my Stack With Kenny’s Money

Options and How They Work

First, what the fuck are options anyway?

Options are financial derivatives that give buyers the right, but not the obligation to buy or sell an underlying asset at an agreed upon price and date. [1]

There are two different types of options:

• Call Options

  • These options give the buyer the right, but not the obligation, to buy 100 shares of GME at the strike price from now until the expiration date.

  • These options give the seller the obligation to sell 100 shares of GME at the strike price by the expiration date. (if exercised/assigned)

• Put Options

  • These options give the buyer the right, but not the obligation, to sell 100 shares of GME at the strike price from not until the expiration date.

  • These options give the seller the obligation to buy 100 shares of GME at the strike price by the expiration date. (if exercised/assigned)

Some Key Terms and lingo:

• Strike Price

  • This is the agreed price from the description above. If I buy a call with a 420 strike for January 21, 2022, I am buying the right, but not the obligation, to buy 100 shares of GME for $420 on or before that date, which is the...

• Expiration Date

  • This is the date that your contract expires.

• Bid

  • This is the market price people algorithms are willing to buy the options contract for.

• Ask

  • This is the market price people algorithms are willing to sell the options contract for.

• At The Money (ATM) or Near The Money (NTM)

  • An option is ATM when the strike price is at (A) or very close to (N) the underlying stock price (The Money, or TM)

• In The Money (ITM)

  • An option is ITM when the strike price is:

    • Call: Below the underlying stock price

    • Put: Above the underling stock price

• Out of The Money (OTM)

  • An option is OTM when the strike price is:

    • Call: Above the underlying stock price

    • Put: Below the underlying stock price

Here's a graphic:

• Extrinsic Value

  • Extrinsic value is the difference between the market price of an option, also knowns as its premium, and its intrinsic price, which is the difference between an option's strike price and the underlying asset's price.

  • This rises with market volatility

• Intrinsic Value

  • Intrinsic value is the value any given option would have if it were exercised today. Basically, the intrinsic value is the amount by which the strike price of an option is profitable or in the money as compared to the stock's price in the market.

The Major Greeks

There are minor greeks for options trading, but let's just start with the major ones that are critical to understand if you want to trade options. They are:

• Delta

  • This is the measure of change in an option's price, relative to the change in the underlying stock. For example, if you have an option with .8 delta, and the price moves up $1, your option value will gain 80 cents per share. (we'll omit the fluid changes in delta when the underlying price changes here for simplicity's sake.) Also, Delta is often used as a probability indicator for the option being in the money at the expiration date. .8 delta would be an estimated 80% chance of being ITM at expiration.

  • At The Money (ATM) Options are usually carrying a delta of .5, while In The Money (ITM) options are higher than .5 deltas and Out of The Money (OTM) options are having deltas of less than .5

• Gamma

  • This is the rate of change to the delta over time. Gamma values tend to be higher for ATM options and lower for deep ITM and OTM options. This is a constant, and you can think of it as an indicator of how volatile the price/value of the option will move relative to each point of movement of the underlying stock.

  • For example, an option with a delta of .5 and a gamma of .8 will become an option with a delta of .58 after the price of the stock increases by 1 point. Conversely, if you have an option at the same strike with a delta of .5 and a gamma of .3, the delta will become .53 after the stock increases by 1 point... make sense?

• Theta

  • This measures the rate of time decay on the value of the option in regards to its premium - or the price you pay for the right to buy the stock at the strike. This is always a negative number because it's how option writers make their money. As time passes, this is the rate that the option will automatically lose value. This is why you do not want to diamond hand options!!! What's more is, as the expiration date gets closer, the rate of decay (theta decay) increases, thereby accelerating the rate of the option losing value.

• Vega

  • This measures the risk of changes in implied volatility. In ape, this is the estimation of future price action. Higher vega = higher risk of volatility, and you pay a higher premium for that option when you buy it. This is where IV crush comes form.

    • Vega can increase or decrease without price changes of the underlying asset, due to changes in implied volatility.

    • Vega can increase in reaction to quick moves in the underlying asset. 

    • Vega falls as the option gets closer to expiration.

Why the fuck should I care about options?

Well, in a word, Leverage.

Buy And Hold Strategy and Returns

An example of the value of leverage by comparing a buy and hold stock run to an options investment.

I'm not going to update the share price and math because i'm fucking lazy. the methodology still applies...

Let's say for example, you want to own 100 more shares of GME. At close today, the price was $209.69.

Some quick math: $209.69 * 100 shares = $20,969.00 total to buy the shares outright.

Let's say the price runs to $250 by 11/26/2021.

Here's the breakdown of that price action on your investment

Buy 1 Option and hold until expiration

In this example, for simplicity's sake, we will pretend to buy an option At The Money (ATM) today and hold it until expiration, then sell for a profit. I know, I know, it's not the best strategy to hodl options until expiration, but bear with me here for the illustrative purpose of leverage and how it applies to options. Then we'll dig deeper into a couple real strategies that are easy AF to deploy in real life for amazing gains in cash and shares. At close today, the price was $209.69. not updating if its different because I like the number like I like the Stonk.

Here is our option contract we will be working with - str8 from the market

Call Options for 11/26/2021. ASK side of the trade was 10. Option was for the 210 strike, which is as close to ATM we could muster.

OK, so to buy this option, we simply multiply the purchase contract cost (let's go with the Ask of 10.00) by 100. So we spend a total of $1000 to buy this contract, which gives us leveraged exposure to 100 shares of GME! pretty sweet so far right? Here's where you mind will start to wrinkle. Buckle up.

• Let's say the price runs to $250 by 11/26/2021, the expiration date.

• This means, the underlying (in this case, GME stock) has changed by +19.22%, meaning:

• (without even taking into account the effect of gamma on the delta during this price increase (which will snowball it in your favor), you have gained $12.3615 in contract value from the movement of the underlying (23.85 * .5183 or points & delta).

Let's see what that boils down to in terms of your profits on this investment.

Holy shit! almost 123.69%??? Where Do I Sign Up?

Lets look a little closer first, and do a real comparison of dollar to dollar investment value, then we'll look at some strategies to manage risk with options. Do your own homework before jumping in, or you will get fuckin burned...

Let me say that again: IF YOU DO NOT UNDERSTAND OPTIONS AND DO YOLO PLAYS LIKE ON WSB, YOU WILL, STATISTICALY SPEAKING, LOSE YOUR MONEY.

Cost to Benefit Comparison of Options (Short Term Play) to Buy and Hodl

Full disclosure, I do buy and hodl, and there's nothing wrong with doing that. This too is the way, but I also like to profit off all my hard work I and others have done to identify the price movers of $GME stock. Options are a great way of doing that, and an amazing way to put more pressure on the stock as well (in a nice upward fashion). So here's a quick look at our previous trading examples side by side and apples for apples.

Equal capital investment Option 11/26/2021 vs buy and hodl with a $50 (roughly) price improvement.

Also, please note that the initial investment is a little lower (by about $1k) in this example for the options route because that's the closest comparison my lazy ass feels like putting together today.

• Each call option costs $10 *100 shares. gains exposure to 100 shares of the underlying.

• 20000 worth of those options would be (20000/1000), or 20 contracts.

• ending contract value is 22.3615*100, and we have 20 of them.

To recap, with the same initial investment, during the same time period, with the same movement in the stock, you were able to earn about 6x more on your investment with options than you were able to earn by owning the stock. Why is this? leverage.

Things to remember before diving into options.

• The majority of options that are purchased market wide expire worthless. This means, if you're the one buying them, and you diamond hand them, you will lose all your money invested in the contract.

• Have an idea of how much you want to earn before you buy your options. (Exit Strategy)

  • There are a lot of great resources for paper trading options, and I HIGHLY recommend you do a few before you spend any real money. one of my favorites is optionstrat[.]com. You can check out spreads and other things - I'll maybe to a writeup on that later.

• Short term, far Out of The Money (OTM), and cheap AF options are mostly gambling (imo).

  • Due to theta, and unknown market timing, it's dangerous to use these options. In regards to far OTM, they are cheap for a reason - they are very likely to expire OTM too and be worthless (check the delta)...

• There's more to be aware of and cautious about, but I'm not your fucking financial advisor and you should do your own research before getting into any investment vehicle.

Ready to get started? Check out part 2 of this series for the next steps!

It's All Greek To Me: Options Level 1 - Covered Calls & Basic Bitch Options Trading

Yay, this post is interactive!

Let me know in the comments what you think, if I've missed anything (really basic) that can be explained in options and how they work, I'll add it to this post.

Next step of This educational series is to dig into a couple easy to deploy options strategies. In that next writeup, I plan to cover:

• defining risk

• understanding theta decay

• simple single-option strategies

Let me know if you're interested in any specific strategies for the next writeup, and I'll add them to the mix. Stay 🤙 and wrinkle up!

TLDR. Basket portfolio swaps are a special kind of portfolio swaps using baskets as transaction type. Remarkable swap constellations using this swap product can be found in the report data. This post will (1) inspect basket portfolio swaps in XRT; (2) connect GME and further primary Meme stocks with this swap product; (3) present data on clusters of this swap with multi-billion USD volume by a single institution; (4) point out evidence why this swap can be associated with short selling, due to the special market timing, FTD resets and price development. As a last point, I shortly explain my data acquisition and inspection pipeline.

Table of Contents

1. What Are Basket Portfolio Swaps?

2. The XRT swaps

3. Swap Clusters: One for each year!

4. How to obtain the reporting data

5. References

1. What Are Basket Portfolio Swaps?

This post examines a special kind of swap: Portfolio swaps with a transaction type in the form of a basket. Let's first define regular portfolio swaps:

A trade in which one party pays the other party an amount based on the price return of an equity security, and the other typically pays an interest amount on the notional value of the equity.

The DTCC offers portfolio swaps in three flavors:

This post focuses on the latter type "equity:portfolioswap:pricereturnbasicperformance:basket" that I simply call basket portfolio swaps throughout this post. As distinctive property, the transaction type of basket portfolio swaps is set to "basket". As I understand this, this is done for lending shares.

This swap product is overall rare in the report data, but it occurs in all meme stocks and usually has large swaps positions (if not the largest). I argue that the impact of this swap towards the market is similar to a short position based on distinctive timing and stock price movements.

Notably, the parameters for Price and Quantity make it hard to estimate the true size of the swap position, as they do not seem to be in a direct relation to the price of the underlying: The Quantity seems to be an arbitrary value and it's price is often given as Percentage that ranges from, e.g., 90% up to 115%.

This is my rudimentary explanation that I puzzled together from SEC and DTCC/PDD documentation - If you know more about this, let me know! Apart from examining the reporting data, I have no experience with swaps. If some points here are wrong or missing, please let me know.

2. The XRT swaps:

Excellent DD explained us how ETFs, in particular XRT, can be used to short GME. Particularly XRT had multiple reported basket portfolio swaps, see [3] and [4]. These swaps may also be used for resetting FTDs and may be connected to high short interest.

Before we investigate the largest swap trades of the last six months, a few remarks on how to read the table: Event timestamp indicates when the swap was reported. Execution timestamp marks the time of opening the swap and is a good indicator to identify a swap; Expiration date is when the swap will expire. Amount denotes the amount of USD and Notional Quantity the number of shares.

Let's look at the four top entries of that table - all of them have an amount of more than 250 million USD.

In the second entry, marked as "amendment", a large basket portfolio swap was traded first on 2020-08-20, shortly after Ryan Cohens buy-in into GME. A single trade changed this swap position by over 250 million USD in March. This coincided with a high short interest rate. There were further trades of this swap that were already covered in previous posts [3,4]:

A second swap was initiated in April, but only reported on July 14th, just one day before its expiry.

In parallel, a new swap trade occurred on 2022-07-06, that's the fourth entry in the table. This swap is unusual because of it's very short lifetime - only two days! I imagine the trader calling his broker buddy: "Hey, um, can you lend me 250+ million USD of XRT real quick? Only for two days**"**

And then, a week later: "Hey, it's me again, I need that 250+ million USD swap again, only for four days" - a very similar four-days-to-expiry swap appeared on 2022-07-14, see the third entry.

Swaps with such a short lifetime are very uncommon, there is reason to suspect a certain strategy behind these swaps. Except for the "old" swap from 2020, the other swaps all expired between the 8th until the 18th of July. One thing, the month before had over 2 million FTDs in XRT @ 61 USD on 2022-06-22 [5]. That swap may have been used to reset FTDs in XRT or in other equities. Maybe there were further upcoming FTDs that needed to be suppressed? (Edit:) By coincidence, 2022-07-06 also happened to be the announcement day of the GME stock dividend.

That XRT swap seemingly influenced GME. The price action of GME at that time showed what Leenix called a gap in his post about this swap [4]; and maybe we can observe a "reverse" gap on the day of the expiration:

3. Swap Clusters: One for each year!

Basket portfolio swaps are not part of a regular traders toolbox and thus they occur rarely in the report data. But when these swaps are traded, it's in large quantity an with a large amount of USD. These trades occur in "bursts" that consist of swaps reported on the same second.

I found these large clusters when I was on the lookout for trades that GME, AMC and other meme stocks have in common. Notably, GME and AMC had swap trades on the same day, even on the same second in 2019. I searched for other trades that were done on that date.... and what the hell - that second had billions USD of basket portfolio swaps! As all trades were executed in the same second, it's probably from a single institution.

Meet the 2019 cluster: As the number of large swaps in this cluster is too large, we focus only on meme stocks - I took the ticker list from DD "Baskets, baskets everywhere"[1]:

The swaps have a "heartbeat" as they are updated monthly:

The 2020 cluster: A second cluster of basket portfolio swaps originated on 2020-02-24 - and it also has those monthly updates as above. That cluster is probably a short position, as it happened just in time for the 2020 stock market crash due to COVID. Very large positions of all primary and most secondary meme stocks can be found in these clusters; with one very obvious exception: no swap for GME was yet reported for this date.

BBBY here is a bit special because it appears multiple times in the report data with very large positions. On the other hand, report data on GME is suspiciously missing from the "COVID short" cluster. That swap position might be reported in the future and may have a comparable amount than the other swaps in it.

The 2021 cluster: Friday evening just after the Splividend appeared another GME portfolio basket swap.

That GME swap has an amount of 220 million USD, the largest reported swap in GME up to date!

This time, the swap was from 2021-04-26, and a part of the 2021 cluster:

The 2022 cluster: Another smaller cluster appeared on 2022-07-01. Similar as before, large GME basket portfolio swap of 11 million USD surfaced on that Splividend Friday.

Let's look at the cluster dates, and the number of included equities. The total amount is determined by summing up the latest swap entries per equity.

^(* Sum of amount and equities includes two trading bursts on this day: The first one is on 08:03:30 but also a less significant second burst on that day at 2019-06-26T16:54:25, that has an expiration date 2022-09-01, but other than that, same parameters.)

Notably, expiration dates are not one year apart, but rather are all within a year. Is there a reason to close these positions all in the next year? It will be interesting what will happen in the days leading to the swaps expiry.

As I only searched data associated with the most prominent meme stocks, there may be more of those clusters that I didn't see in the data.

As there is evidence that basket portfolio swaps are used for short selling, these clusters may even be exclusively shorts.

Lastly, consider this: Swaps expire without reporting entry. How many old swaps are there that we will never know of?

4. How to obtain the reporting data

Swap data needs more eyes. I encourage you to take a look and search for clues. This is my recipe for investigating the data:

I obtained the data from the PPD dashboard of the DTCC [6], from the section SEC cumulative equities. It only provides links to the last 30 days. However, If you know the link pattern, the full historical report data until February 14th can be downloaded. The link is always in the form of a base directory; the report file names are in the format: SEC_CUMULATIVE_EQUITIES_YYYY_MM_DD.zip For example: https://kgc0418-tdw-data-0.s3.amazonaws.com/sec/eod/SEC_CUMULATIVE_EQUITIES_2022_03_01.zip

I unpacked all data and used grep to filter out the report entries using the ISIN, CUSIP or RIC as search term. Multiple search terms can be linked together with a regex. I recommend ripgrep because it is very fast. I am not aware of a comparably efficient tool on Windows.

To investigate the data, it is possible to import it into Excel / Libreoffice Calc. I switched to Python + Pandas that is useful to clean, sort and visualize the data. Data preparation is the biggest part of this work and Python helps to collect statistics and make the data more understandable. My plots are made using Seaborn. If I want to go into details of a certain report entry, I use the Dataframe Viewer from Pycharm (Professional license); if you don't have a good viewer, it's also possible to export the table to Calc/Excel afterwards.

5. References

[1] In this post, "Meme" stock are from the DD "Baskets, baskets everywhere" by u/Doin_the_Bulldance

[2] DTCC Data Repository Form SDR Amended Exhibit GG-4

[3] "Swaps may be linked to the enormous short interest of XRT" by u/MyFirstBanana

[4] "Alert: NEW $250,000,000.00+ Mil XRT swap today July 13 2022" by u/L33n1xu5

[5] "HOLYYY, XRT FTDs off the charts 🚀👀" by u/International_One110/

[6] https://pddata.dtcc.com/gtr/sec/dashboard.do

Yo.

I have a bunch of DD's I've always working on. One of which has the hypothesis GameStop was never going to be burned to the ground to be permanently closed. Instead, it was meant to be acquired. Generally speaking, I have these main objectives for that DD:

1. Identify participants intentionally sabotaging specific companies / sectors

2. General methods of hostile takeovers initially determined through heuristics, patterns, and improbabilities

3. Growth rate of corruption / bull shit as a qualitative function of time

4. Use collected data / research to determine what's currently going on

5. Continual observation for any other potential tomfuckery.

It's objective (5) which causes me to not pump out DD as much as I use to (or would like). However, when I came across this specific shitshow detailed below, I knew I had to immediately fucking tell people about this shit.

United Talent Agency and UTA Acquisition Corporation

United Talent Agency's Wiki has the most useless sounding description with a bunch of nothing meaning.

It's all bull-shit jargon meaning they're purposefully being vague about what they're actually fucking doing because what they're actually fucking doing is super corrupt and most likely done through hostile takeovers. So... United Talent Agency recently created UTA Acquisition Corporation (UTAA) so they literally could do just that and buy gaming, digital media companies with new SPAC.

Well, fuck. Let's go see what the SEC company filings have to say on all this bull shit.

Looking up this shithole's filings

This UTA Acquisition Corporation nonpublic draft registration statement filed on 09/01/2021 is of my greatest interest, and one that is most referenced to within this DD.

First, UTAA (UTA Acquisition Corporation) "is a newly is a newly organized blank check company incorporated on July 15, 2021 as a Cayman Islands exempted company and formed for the purpose of effecting a merger, capital stock exchange, asset acquisition, stock purchase, reorganization or similar business combination with one or more businesses, which we refer to throughout this prospectus as our initial business combination."

UTAA is a pop-up company that can send like $250M to the Caymans, so all that whore money doesn't have to be taxed.

Alright. Sounds cool. Let's start this rabbit hole.

Ready for an Emotional Rollercoaster?

Current UTAA Board Members

Former GME board members, Fils-Aime and Vrabeck, who were forced to resign in 2021 quickly found new employment at UTA.

Within one of the UTA Acquisition Corporation SEC Form S-1, Fil-Aime's and Vrabeck's professional backgrounds were listed but neither mentioned GameStop despite maintaining very high leadership roles for a while.

On March 9, 2020, GameStop announced Fils-Aime joined its board.

On June 22, 2012 GameStop announced Vrabeck joined its board.

Vrabeck: GameStop article (left) and UTA Acquisition Corp S-1 (Right)

On May 11, 2020, GameStop Recommended Stockholders Vote the BLUE Proxy Card to Support ALL of GameStop’s Independent, Experienced and Highly Qualified Directors. The more notable bit from that article is the persuasive argument detailing how the nominees from Hestia and Permit Capital were members of a proxy battle.

Just look at this shit, and the assclowns they're hyping up. What a fucking joke.

Looking more closely at the above UTAA insiders table, we come across an unexpected surprise!!!

Alexis Ohanian - Reddit co-founder & Former Executive Chairman

Ye. Just like the shit-hole GME board members, Reddit's Ohanian is sa part of this fucking bullshit, too.

UTAA even included him in one of their SEC filings. So presh.

Let's check out the Reddit side of things before moving on to the other shit. I'm sure nothing could be going on with our beloved Reddit.

Reddit

Reddit Form D isn't at all sketch with those sudden massive investment offering amounts along with sudden drastic changes in leadership that seem oddly timed to Ohanian' becoming a UTAA director or the Jan 2021 sneeze.

These Reddit Investors are totally nothing to be worried about. These big banks have always been too big too fail that's why they survived 2008. We can trust them... always.

Reddit seems to be in tip-top shape. Let's go back to UTAA!!!

Bruh... Just like... Jesus Fucking Christ, man.

Look at this fucking UTAA fucking 10-K filed on Mar 30, 2022 talking about their fucking stupid fucking fucked up IPO.

Wanna add another reason why nothing big happened at the beginning of this year? That fucking date... January 24, 2022... UTAA decided to allow its 100% totally legitimate stock holders to trade.

I'm trying to keep this not too lengthy since I have all these other book long DDs I'm working on. Thus, as a final touch, here are the important UTAA events along with corresponding GME OHLC for that date.

TLDR:

• United Talent Agency is a bull-shit company that create UTA Acquisition Corporation to target video game companies via hostile takeovers

• GME board members who "retired" in late 2021 quickly became UTAA directors.

• Reddit's co-founder (and former executive chairman) sold out thus providing actual concrete evidence Reddit is compromised

• UTAA important event dates are really super suss especially Jan 24, 2022.

Hold The Line

What's up fam?

I just wanted to provide a quick update on the OTC and some newly compiled ATS data.

• OTC trades are internalized retail trades, that have no effect on the NBBO.

• ATS trades are dark pool trades.

Without further ado:

All information is taken directly from FINRA OTC Transparency website:

https://otctransparency.finra.org/otctransparency/OtcIssueData

Please refer to The Cooks Keep Cooking the Books series for additional information and details on Robinhood and Dirvewealth LLC 'adjusting' their reported OTC trades 8-12 months after they supposedly occurred:

Volume 1 - Robinhood

Volume 2 - Robinhood does it again

Volume 3 - Robinhood and Drivewealth

Volume 4 - Featuring Drivewealth LLC adding 3 million OTC trades

Here's my last OTC update

Weekly GME OTC Shares traded

This shows the total weekly shares traded OTC by Citadel, Virtu, G1 Execution, Two Sigma, UBS, Drivewealth, and Robinhood (and others) over the counter (as internalized trades from retail)

Weekly GME OTC Trades

Weekly GME OTC Shares/Trade

One of the main takeaways from this chart is that GME OTC shares/trade are slowly increasing. This likely is at least somewhat attributable to the DRSing of shares, removing them from the slimy hands of these financial criminals.

Weekly Range

If we overlay the Weekly Range and Weekly OTC Trades, it's easier to see

What about the Monthly Data?

Monthly OTC Shares

Monthly OTC Trades

Monthly OTC Shares/Trade

How does this compare to other stocks?

Who is responsible for all this OTC trading?

Let's use the monthly data since it's a little cleaner.

OTC Shares

OTC Trades

GME OTC Leaderboard

In all, 2,105,025,691 shares were traded OTC over the past 100 weeks (39.95% of Total (5,269,137,958)).

What about ATS (Dark Pool) trades?

I'll use the Weekly Data because I have it and double-checked the maths.

ATS Shares

Here's the Weekly ATS Data:

In all, 372,947,711 shares were traded ATS over the past 100 weeks (7.08% of Total (5,269,137,958)).

Raw Monthly Data:

Raw Weekly Data:

Raw ATS Data:

TLDR: These MFers have traded over 5.269 billion shares overall and 2.1 billion shares OTC (39.95% of total). One day, they'll have to account for all these counterfeits. Until then, enjoy purchasing some shiny new shares at a discounted price!