Peek-A-Boo! I see 30M hidden shorts coming due!

https://www.reddit.com/r/Superstonk/comments/oiemiu/peekaboo_i_see_30m_hidden_shorts_coming_due/

Question: How many of the upcoming July 16 options expiring are worthless deep ITM puts used to kick cans down the road?

In order to answer this question, we need to figure out which of the upcoming options were opened when they were worthless. As before, we can use |delta| < 0.01 (a penny) to judge an option as worthless.

Once all of the July 16th expiring options are loaded into Sheets, I worked some magic. First, sort by the options name to cluster them together & then sort by ascending date. The results are in GME210716P sheet.

Now we need to work some magic on the Open Interest change column. You only want to calculate the daily difference in Open Interest if the option is the same.

As all the individual options are now clustered, you can just check the option name against previous row. If same, do a subtraction. If not, then it's a new option so set the "OI Change" to 0. (See "OI Change" column of GME210716P sheet.)

Then we want to filter out just the options that have near-zero delta for each day. This is on the Daily sheet and we use a fancy SUMIFS equation.

The SUMIFS equation basically adds the OI Change if the change was on a particular day and the delta meets our threshold for worthlessness.

Now the Daily sheet shows how many worthless July 16 puts were opened and when! We can Chart that up and get a sum total. The Chart is pretty obvious on Chart sheet.

The sum total of July 16 worthless puts opened is:

Worthless Put Options

Raw Data Source (CSV) from Historical Options Data

https://www.historicaloptiondata.com/

Using "grep", you can extract out all the data for a single set of options expiring this July 16th (date code in option name is 210716 [YYMMDD]):

grep GME210716P GME_2021.csv

<-- Extracts all Put options expiring 2021-07-16 for GME from the data set.

Import the results into a Google Sheet and do some Sheets magic (see Methodology).