The Mechanics of a Delta-Gamma Squeeze: Spotting High-Gamma Outliers
How concentrated short out-of-the-money call open interest triggers explosive price rallies in single stocks.
A Gamma Squeeze occurs when aggressive retail call buying forces options market makers to aggressively buy shares of underlying stock to maintain a delta-neutral book. When stock prices rise, market maker gamma increases exponentially, creating a self-reinforcing buying feedback loop.
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