Gamma Squeeze Probability

Overview

This pillar identifies stocks primed for a gamma squeeze, a rapid price surge caused by structural imbalances in the options market. It's a powerful tool for predicting short-term, high-momentum events that typical analysis often misses.

What It Does

The model analyzes the ratio of call option open interest to a stock's available float, alongside short interest and options volume. It specifically looks for situations where market makers who sold calls could be forced to buy the underlying stock en masse. This forced buying creates a powerful, self-reinforcing upward price spiral.

Why It Matters

Gamma squeezes can cause extreme, non-fundamental price movements in a very short time. This pillar provides a significant edge by detecting the structural setup for these events before they happen, allowing for predictions on high-volatility outcomes.

How It Works

First, the system scans for stocks with unusually high call open interest relative to their public float and a significant level of short interest. It then analyzes the options chain to find concentrated bets on specific near-term strike prices. Finally, it synthesizes these factors into a single probability score, flagging stocks with the highest potential for a squeeze.

Methodology

The core calculation is the Gamma Squeeze Score (GSS), derived from: (Call Open Interest / Float) * (Short Interest %) * (Implied Volatility Percentile). A stock is flagged if Call OI/Float exceeds 15%, Short Interest is above 20% of float, and IV percentile is over 70. The analysis focuses on options expiring within the next 45 days.

Edge & Advantage

This analysis reveals market structure vulnerabilities that are invisible to fundamental or standard technical analysis, predicting moves based on mechanics, not just news or earnings.

Key Indicators

• Call OI to Float Ratio

  high

  Measures the total number of open call contracts relative to the shares available for public trading. A high ratio indicates significant leveraged upside bets.

• Short Interest Percentage

  high

  The percentage of a company's shares that have been sold short. High short interest provides fuel for a squeeze as short sellers are forced to buy to cover their positions.

• Gamma Exposure (GEX)

  medium

  Estimates the total gamma sensitivity of all options on a stock. High positive GEX can accelerate price moves in the direction of the trend.

• Cost to Borrow

  low

  The interest rate paid to borrow shares for short selling. A high rate indicates strong demand to short and limited availability, increasing pressure on short sellers.

Data Sources

• Options Price Reporting Authority (OPRA)

  Provides real-time and historical options market data, including open interest, volume, and pricing.

• Exchange Short Interest Reports

  Official bi-monthly reports from NYSE and NASDAQ detailing short interest levels for listed securities.

Example Questions This Pillar Answers

• → Will stock XYZ trade above $50 before its monthly options expiration?
• → Will AMC's stock price increase by more than 20% this week?
• → Will GME reach a new 30-day high in the next 14 days?

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