Monday, October 12th.
New York's Columbus Day and US Stocks are trading as usual.
When Zhao Chen arrived at the office at 7:30 in the morning, Lin Shicheng had been sitting in front of Bloomberg Terminal for nearly an hour.
The pre-market quotation of GME on the screen was twenty-two yuan and sixty cents, which was more than two points higher than the closing price of Friday.
The residual heat of the Microsoft agreement has not yet dissipated, and the number of discussion threads on WallStreetBets Forum doubled again from the weekend to Monday morning.
Zhao Chen put Zisha Pot on the table, and Su Wantang went to the tea room to boil water.
Shen Zhiyi pushed the door in at eight o'clock sharp, holding a newly updated exposure monitoring report in his hand.
"The total exposure after the close on Friday is 4.31 percent.
Common Stock has 1.9 million shares, Options conservatively converts to about 560,000 shares."
She placed the report in front of Zhao Chen,
"Today Common Stock plans to buy 80,000 shares. After completion, Common Stock will have a total of approximately 1.98 million shares.
Based on the current stock price of 22 yuan, the market value of Common Stock is approximately 43.5 million US Dollar, accounting for approximately 2.84% of the total share capital.
Including the conservative conversion of Options, the total exposure is approximately 4.5%."
Zhao Chen flipped through the report and stopped at the column of Options's exposure.
The first batch of Call Options purchased on Friday expired in June, Strike Price twenty-five US Dollar, Premium cost three million US Dollar.
At that time, GME's stock price was around 19 yuan, and the Delta of this batch of Options was about 0.3, with a conservative exposure of about 460,000 shares.
But today the stock price has risen to 22.6 yuan before the market opens, and the Delta of this batch of Options is rising rapidly.
If the stock price continues to rise, Delta will approach 0.5,
The exposure discount value will jump from 460,000 shares to 760,000 shares, passively increasing the total exposure by 0.43 percentage points.
"The faster the stock price rises, the faster the delta value of Options changes."
Zhao Chen Turn the report to the last page,
"After buying 80,000 shares of Common Stock today, if the stock price continues to remain above 22 yuan,
Options's passive exposure could push total exposure to over 4.8 percent after the close.
If the stock price rises again tomorrow, it may passively break through 4.95."
Shen Zhiyi opened her legal memo.
"According to the default Buffer Zone Mechanism, if the total exposure passively exceeds 4.95 after closing,
On the second trading day, the same amount of Common Stock was sold in the first hour after the market opened, bringing the exposure back to below 4.9."
"Yes. I bought 80,000 shares as usual today and will recalculate the total exposure after the market closes.
If it exceeds 4:95, sell first when the market opens tomorrow."
Lin Shicheng quickly calls up GME's Options Chain data on Bloomberg Terminal.
"There is another variable - if the stock price continues to rise after today's opening, Market Maker's Gamma hedging on Out-of-the-Money Call Options may accelerate.
We already have a lot of open positions on Twenty Five US Dollar and Thirty US Dollar Strike Price.
If the stock price is close to 25, Market Maker's hedge Buying Pressure will push the stock price higher, and the delta of Options will also accelerate the expansion."
"Then keep an eye on it."
Zhao Chen Pick up the teacup,
"Today's buying rhythm remains unchanged and will be completed before 2:30 p. m.
If the stock price rises abnormally during the session, do not chase the price higher and save the remaining shares until tomorrow."
When the market opened at 9:30, GME was quoted at 22.8 cents, which was 17% higher than the closing price of Friday.
In the first fifteen minutes, Trading Volume exceeded 10 million shares, which was almost one-third of the total number of shares of Friday in the whole day.
The stock price seesawed repeatedly between 22 and 24, with bulls and Short Sellers competing fiercely in this range.
At 10:30, a purchase order for more than 500,000 shares was placed at 23.5 yuan, pushing the stock price directly to over 24 yuan.
At 11 o'clock, it broke through 25 yuan, touching the Strike Price in the screenshot of Friday Cohen's tweet.
The Gamma hedging of Market Maker began to accelerate, and an almost vertical upward pulse line appeared on Time-sharing Chart.
Twenty-five yuan and a half, twenty-six and twenty-six yuan, every integer barrier was quickly broken through.
Lin Shicheng completed the purchase of 80,000 shares of Common Stock that day at 1 p. m., with an average price of 24.8 cents.
After buying it, he immediately called up the total exposure calculation table - Common Stock with a total amount of 1.98 million shares.
Based on the closing price of 26.2 yuan, the market value is approximately 51.8 million US Dollar, accounting for approximately 2.84% of the total share capital.
Options's conservatively discounted exposure increased to approximately 680,000 shares due to Delta, accounting for approximately 0.98% of the total share capital.
The total exposure is 4.82, which is only 0.13 percentage points away from the upper limit of the buffer zone of 4.95.
"Total exposure four point eight two."
Lin Shicheng pushed the calculation sheet in front of Zhao Chen,
"No more than four-nine-five."
October 13th, Tuesday.
GME continued Monday's gains, opening at 27 yuan, hitting an intraday high of 29.8 yuan, and closing at 27.5 yuan.
Lin Shicheng did not buy Common Stock as planned - the position opening of Common Stock was completed on Monday, with a total exposure of 4.82, and no additional buying is required.
He bought a batch of Call Options, Strike Price thirty US Dollar, and Premium that expired in June at a cost of about two and a half million US Dollar.
The delta of this batch of Options is low, with a conservative conversion exposure of about 200,000 shares.
Including the existing exposure of Options, the total exposure of Options is about 0.88.
Common Stock plus Options, the total exposure is 4.91.
Wednesday, October 14th.
GME opened higher and jumped to 30.2 yuan, and hit 32 yuan during the session.
Lin Shicheng completed the last batch of Options warehouse opening, Strike Price thirty US Dollar, Premium cost about 1.5 million US Dollar.
After the market closes, Shen Zhiyi sends the exposure monitoring report to Zhao Chen's desk.
"Common Stock has 1.98 million shares, accounting for 2.84% of the total share capital.
Options totals Premium 18 million US Dollar, with a conservative exposure of about 710,000 shares, accounting for about 1.02% of the total share capital.
Total exposure is 4.86 percent."
She turned the report to the last page,
"The upper limit of 4.99% is still 0.13 short. This corresponds to an exposure of approximately 90,000 shares of Common Stock.
Reserve space for passive expansion of Options Delta when the stock price continues to rise."
Zhao Chen read the report from beginning to end, picked up the pen and signed the last page.
"Options totals Premium eighteen million, plus Common Stock's investment of about thirty-nine million, the total investment is about fifty-seven million US Dollar.
Corresponding to an exposure of 4.86%, there is still a buffer zone of 0.13%. The position building phase is over."
He stood up and walked to the window.
GME's stock price closed at around 30 yuan, an increase of more than 150% in three weeks from 11.88 cents when the Add Position plan was launched on September 22.
Common Stock The cost of opening a position was nearly double the original plan due to the continued rise in stock prices, but the total exposure was precisely controlled below 4.99%.
Shen Zhiyi walked over from the Legal Department's workstation, holding a running log of the exposure monitoring process in his hand.
"From September 22 to October 14, the exposure monitoring process ran normally and no warnings were triggered.
Daily post-closing calculations, delta value updates, and exposure summaries are all executed according to preset processes.
The draft 13G declaration is still in the drawer and has not been submitted."
Zhao Chen took the diary and looked through it, then closed it and put it on the table.
"Continue to run. Starting tomorrow, the position building phase will end and the observation period will enter.
Monitor the exposure after the market closes every day. If it passively breaks through 4.95, it will be processed as Buffer Zone Mechanism.
If the exposure remains stable, no action is required."
Thursday, October 15th.
GME continued to rise at the opening, breaking through 35 yuan during the session.
Era Vanguard's Options Delta passively inflated, with the total exposure rising from 4.86 to 4.93.
Still below the 4.95 buffer zone.
October 16, Friday.
GME closed at 35.5 yuan, a gain of more than 60% this week.
Total exposure after close was 4.95.
Accurately reach the upper limit of the buffer zone.
When Shen Zhiyi sent the exposure monitoring report to Zhao Chen's desk, his tone was calmer than usual.
"Total exposure four point ninety five.
According to Buffer Zone Mechanism, about 30,000 shares of Common Stock need to be sold in the first hour after the market opens next Monday, bringing the exposure back to below 4.9."
Zhao Chen looked at the number on the report and tapped his finger lightly on the table.
"Execution next Monday. Don't delay."
October 19, Monday.
In the first hour after the market opened, Lin Shicheng sold 30,000 shares of GME Common Stock through one of Offshore SPV, with an average transaction price of 34.8 yuan.
After the sale was completed, the total volume of Common Stock dropped to 1.95 million shares, and the total exposure dropped from 4.95 to 4.91.
Zhao Chen wrote the date and operation record of the day on the exposure monitoring table, and then leaned back in the chair.
GME's stock price fluctuated around 35 yuan, and the Short Selling ratio remained above 90%.
Citron has no movement, Q3 Report has not been released yet.
The position building phase is over and the observation period has begun. The chips are in your pocket and the exposure is below the control line.
Now there is only one thing to wait for - the release of Q3 Report in early December.
Then wait for Citron to pop out.