I read some finance books and FT articles alluding to Guessing whether market markers are long or short gamma at this level and how their trading might affect the underlying etc. But no details were given, so I wonder how can one possibly guess the books and Greek exposures at different levels? Can someone point me to some literature.
yes, activity over strikes and maturities. I don't think you'll get concrete data but an overall picture of where things are
option with the most open interest tends to be most active leading up to expiration. if it's easy to buy options then order flow is probably negative. CME has pretty good free open interest tool; look at the life cycle of the option from long maturity to when it expires.
Here's a few hints (this is my specialty and core interest after a career as MM /derivs sales spanning 25 yrs)... Index MMs are reflexive- when they are strained, you will see evidence of it in the pricing. Short vol strats abound- it's not true that index MMs are all short-put, long-call. Not true at all. But you can still count on the fact that traditional / vanilla hedging is *mostly* done in the quarterly month and end-of-year expiries. That means you *will* have more traditional positioning existing in the third Friday AM maturity for any quarterly month- as well as any end-of-(quarterly)-month tenor. In between- the M, W, Fs are dominated by vol sellers or event hedgers- rarely do white shoe types hedge real AUM on a non-standard tenor. You'll of course have some volatility shops playing the term structure, but this series of rules is enough to help anyone make sense of *when* to rely on a traditional/standard measure of GEX (like a quarterly month, wk2 through EOM), and when to assume the real deal is much flatter / wider (all the rest of the time).