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hap's avatar

Volume is almost the opposite of liquidity, the DOM and number of limit orders by level should give you a clearer picture of liquidity. Realized volatility increases when the volume:liquidity ratio is high

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Lucas's avatar

Thanks Lily. Curious about the negative GEX being worse for NOPE reversions. When you did that study, were you looking at reversions on the day of the negative GEX, or were you looking at reversions the NEXT day from the negative GEX?

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