Implied Profile
Predicting future auctions with options data.
Assumption:
Options market is not just flows impacting the underlying.
It can also serve as a valuable indicator of the expectations
expressed in both time and price.Just as volume profiles provide insight into past auctions, options data
allows one to study the expectations of participants regarding future auctions.
I do calculate mine as well, apart for OI and gamma, which are pretty obvious, am trying to figure out how vanna and delta play their role and draw what I think should be levels of attention. Not sure I'm doing right but I guess with time I'll see. Thanks for answering!
This is where I definitely struggle