Let’s be honest, finding a real edge in the markets is tricky. So I thought it would be fun and potentially beneficial for everyone to start a discussion about the types of strategies we are all either researching or trading on Alpaca right now. Let’s come together as a community and find out where all the alpha is hiding!
I know some of you may be a bit reluctant to give away any hard-earned secrets, and that’s quite understandable. So feel free to be as detailed or vague as you’d like.
Currently, I have been researching and backtesting strategies based on SPX gamma exposure from the options market. This is very watered down, but the general premise is to try and estimate the direction of dealer hedging activity based on the assumption that market makers want to stay delta neutral.
Here is a white paper that discusses the theory in more detail. I have been trying to build a long/short day trading system around this based on the previous days gamma exposure and the SPX spot price at open.
So… What kind of strategies are you all researching or trading right now??
- Craig P.