Sep. 8 at 9:50 PM
$GRPN Sep OpEx setup, 10 days out.
The
$20 call wall did not decay into the drawdown. It grew: 6,154 OI vs 5,963 three weeks ago, now 5.5% OTM at 36 delta.
Why that matters on this name specifically. Float is ~18-26M (vendors disagree) and it trades ~1M shares/day. The Sep chain carries roughly 7.1K shares of dealer hedging per 1% move, about 0.6% of session volume. On a float this thin, that is a real feedback loop, not a rounding error.
SI 12.68M (8/14 settle), 31% of shares out. DTC 12.2 days on the 20-day ADV, 8.1 on the settlement-period ADV.
The honest other side: shorts here are comfortable. Borrow 1.38% with 600K available. Nobody is getting squeezed out of a 1.38% carry. SI is down 7.65% and they are in profit from
$25.
So not a squeeze. A gamma setup with a
$245M buyback under it. Wall holds and
$20 goes = dealers chase. Loses
$17.50 = stranded, same as the
$30 wall in Aug.
