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The SI% is fake. I found 44,000,000 million shorts that had their FTDs reset since January 1st using DEEP ITM CALLS. Identifying call option types used for this practice and timeline of events.

TL;DR:

Today (MAR31), $52.94million was “spent” simultaneously on deep in the money call options for GME, ranging from 3C to 19C. None of the previous days show such activity, but we have seen this stuff in the past already. Today, I tried to size the rabbit hole.

Back in February, a number of apes identified weird transactions taking place in deep-in-the-money calls, mainly at $12 and $15 strikes. First people thought it was some kind of oddball bullish play, but it soon transpired that these never appear in the Open Interest, they are seemingly immediately exercised:

https://www.reddit.com/r/GME/comments/m05jed/mystery_solved_the_deep_itm_calls_are_coming_from/

Why would somebody do that? Apparently, to reset the clock on their FTDs. Explanation in the DD above, and in the SEC doc below:

https://www.sec.gov/about/offices/ocie/options-trading-risk-alert.pdf

For the length of this piece, let's call them 'deep ITM call anomalies'.

Today, this activity is back.

I used these clues to trace back days with a lot of activity in these particular options, which then led me to find more call option types being used for the same practice.

In one evening, I identified approx. 30 call option strikes and expiries that have been used for this practice since January 1, and I believe I have traced where approximately 44 million missing GME shares have been hidden (cumulatively). I prove that they are not organic activity by identifying their hallmarks, and that this practice is taking place cyclically.

-------------------------------------------------end of TL:DR-------------------------------------------------------------------------

The 'deep ITM call anomalies' are back MARCH 31.

Call option spending March31 from OptionSonar: https://www.optionsonar.com/unusual-option-activity/GME/latest-trades, Yahoo Finance shows they used APR16s for 7-19Cs, 21JAN 2022 4.5Cs, and 19 NOV for the 3Cs. The 1:58pm timestamp was on all the relevant transactions (I hit the screenshot limit I can Checking the OptionSonar and Yahoo Finance data against each other, we can verify that approximately 303900 FTDs were reset using this technique today.

None of the previous days have shown this activity. But we have seen it before.

Are you ready to go down this rabbit hole?

Historical call data is from Market Chameleon: https://marketchameleon.com/Overview/GME/OptionSummary/Volume

After tallying up the historical volume of the type of Call Options used for this exercise today, I determined that 6th and 8th of March were the heaviest days for this activity, with 8000+ contracts "traded" across the APR16s 7-19Cs, NOV 4.5c, and JAN2022 3c.

So following the two favorites, APR16 12c and 15c, there were clear patterns that would jump out at anyone. They were abused heavily in the last week of Feb / first week of March:

 APR16 12C - aka Citadel APR16 15C - aka Melvin

But there are way, way, more.

Furthermore, this is not new:

This is where the rabbit hole starts getting interesting. This stuff was happening way before any of us knew what a stonk was.

Below, you can follow my process on the rabbit hole from 10 Mar activity to identifying manipulated strikes that led me to discovering this has been happening rampantly before the January rally.

 Full spreadsheet of all the relevant calls. Some of the ones I have identified above might be missing from the final cut, if I found something that pointed to organic volume or another confounding variable. I just forgot about the FEB5 expiries too, and I

Let's look at the full timeline of this activity:

Volume of

You may think that this volume of call options around the squeeze time may have been to do with people who diamond handed them selling them or exercising?

So what does this activity correlate with?

Let's get some data from an "industry thought leader", S3:

https://twitter.com/ihors3/status/1370416875490971651

SUPERIMPOSE!

 Huge drop in reported short interest correlates with huge volume of

I believe we can also see a correlation with the price.

This can be for one of two reasons:

  • The shorts are buying what they can on the open market to close some positions during these times, and resetting the FTD clock on the remainder with this practice.

  • The rising price puts their position at more risk and they scramble to reset the FTDs.

This seems pretty simple?

I agree. This is out in the open, basically. I mean, I found it the moment I decided to find it. This is why I would lean towards 2) The rising price puts their short position in more risk and they scramble to reset the FTDs.

  • 13th of January - aka 'The Day when people realised DFV might be right' - Open 20.42, High 38.65, Close 31.40 - the price doubles after 13 days of staying around the $20 level - 1.6m FTDs are reset that day with this activity.

  • 22nd January - Open 42.59, High 76.76, Close 65.01. 2.9m FTD are reset that day, and 3m a day are reset until Jan 27.

  • January 27 - The day it really squoze (for now) - after closing at 147.98 the night before, GME opened at 354.83, reached a high of 380, and closed at 347.51. Immediately, 6.3m FTDs are reset that day, 4.68m the next day, and 3.5m+ a day for the two days thereafter.

  • As soon as the price is contained at around $50, this activity stops.

  • February 24th - aka The Day We Understood We Aren't Crazy - Open 44.70, Rally starting at 3:15pm to Close 91.71, Highs of 200 in Aftermarket.

  • Feb 25 opens at 169.56. Deep ITM anomalies resume, with 800k FTDs reset FEB25, 26, and 27th. Altogether, 7.15m FTDs would be reset until March 11th.

From this, I would lean towards the hypothesis that resetting FTDs with deep ITM calls is a knee-jerk reaction - the simplest, most stupidly obvious and lazy method of doing it, and they are perhaps doing it when caught off guard, or when there is no better solution.

I might be wrong with my thinking here and I invite you to think about how I could be wrong here and improve our shared understanding.

What are the hallmarks of this activity

  • Stable Open Interest

  • 2x-20x Multiples of the open interest traded a day for 9-11 days, then back to normal, almost zero volume.

  • Blocks of 20, 50, 100, 200, 500, even up to 2000 on the day of The Minor Squozening (JAN27)

  • VAST Majority from the PHLX exchange.

Is this the full picture?

No. This has been happening with many more call options. For many of those, there would be what I could identify as significant organic volume, but still peppered with blocks of 100 and 200 from PHLX. There are some where just blocks of 20-40 were used. I did not investigate fully the expiries that were being used prior to January 22. I could not risk skewing the conservative estimation.

All of the above data is based on the strikes and expiries that were popular with the hedgies in February and early March:

FEB19 $5c FEB19 $15c FEB19 $16c FEB19 $20c MAR19 $20c MAR19 $30c APR16 $4.5C APR16 $5C APR 16 $7C APR 16 $10C APR16 $12C APR16 $13C APR16 $14C APR16 $15C APR16 $16C APR16 $17C APR16 $18C APR16 $19C APR16 $5C JUL16 $5C JUL16 $6C JUL16 $7C JUL16 $10C JUL16 $12C NOV21 $3C NOV21 $5C JAN 2022 $1C JAN 2022 $4.5C JAN 2022 $5C JAN 2022 $7C JAN 2022 $10C JAN 2022 $12C JAN 2022 $15C JAN 2023 $7C

If one ape can figure it out by signing up for a free trial of Market Chameleon, what are the regulators doing?

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