Barbon, Andrea; Buraschi, Andrea - 2020 - This version: 5 November 2020
markets on the underlying market. We document a link between large aggregate dealers' gamma imbalances in illiquid markets and … index and equity options that we use to compute a proxy of aggregate gamma imbalance. We find supporting evidence that intra …-day momentum (reversal) is explained by the interaction of negative (positive) aggregate gamma imbalance and market illiquidity …