A Report by the Ad Hoc Academic Committee on Equity and Options Market Structure Conditions in Early 2021

On October 18, 2021, SEC staff released a long-awaited report on equity and options trading in connection with the meteoritic rise of GameStop’s share price in January 2021. The staff report addressed several issues surrounding the GameStop episode, but one of the most widely reported was the conclusion that neither a short squeeze nor a gamma squeeze caused the increase in GameStop’s share price. Rather, staff concluded, “it was the positive sentiment, not the buying- to-cover, that sustained the weeks-long price appreciation of GameStop stock.”In this report, we show that additional data has come to light which suggest that GameStop’s shares may have been subject to a short squeeze and gamma squeeze. First, by extending the sample and considering securities lending transactions, we find evidence suggesting that a nontrivial fraction of the trading volume in GameStop’s stock consisted of purchases by short sellers covering their positions. Second, we show that staff’s analysis of a gamma squeeze can be extended to include delta-hedging by put and call options market makers to better approximate the contribution of options positions to the increase in GameStop’s share price.To be sure, without access to the sort of nonpublic, deanonymized data available to the Commission and its staff, we are unable to pin down the magnitude of a short squeeze or gamma squeeze in GameStop’s shares, much less identify the actors involved in or responsible for such trading. We hope that our analysis can helpfully guide the Commission and its staff in identifying additional data which might shed light on the extent to which the increase in GameStop’s share price may have been the product of a short squeeze and gamma squeeze. We are ready and willing to provide any assistance to the Commission and staff in that effort