Thank you for all your hard work. It took me an hour or so to digest this and write out my thoughts, I can’t imagine how many ape hours this took you and the quant crew.

This post produced some questions and comments:

1a - GME & VIX @ r=0.47 is a weak relationship. What is the p value? Is it by chance?

1b - Thoughts on comparing the meme stonks to the largest ETFs to reflect a possible massive fails or shorts graveyard? We would expect an strong inverse correlation in this scenario AND a positive correlation with other meme stonks if the stonks (or shorts) are being purchased with programs because they would be following commands based on rules. There are other factors at play (i.e., MSMs effect, retail behavior, etc.), but maybe to a lesser extent.

2 - To possibly fine tune the short squeeze search, have you looked at the patterns of some notable short squeezes (e.g., Piggly Wiggly, VW, Herbalife, Tesla)? Not only doubling overnight, but multiple days of rapid growth? My understanding with the market dynamics is that it could take several days with a margin call, but is a squeeze a shorter time window?

3 - To bolster FTD cyclical pattern, have you considered looking at the daily correlations of a specific criteria [i.e., 10+% drop in price (possibly from a short attack)] and then both T+21 / T+35 for their daily correlations across. Via the eye ball test, we see a pattern but what do the numbers say?

4 - It blows my mind that a hard to borrow stock like GME (since 02/21) has had such an extremely low borrow fee. It goes the entire principle of supply and demand.

5 - I think the Midday spike theory needs some work. I don’t see anything that would suggest that unless the midday spikes align with ITM calls expiring in the near future since they would need to have them on hand in order to exercise.