Ivolution Research Journal · Preregistration
AM- vs PM-settled SPX monthly expiration last-hour pinning
On monthly SPX expiration days, AM-settled contracts (settled at the open via SET) leave weaker final-hour pinning than PM-settled expirations, because the large AM gamma is already gone by the afternoon.
Cite as: CAL-07: AM- vs PM-settled SPX monthly expiration last-hour pinning. Ivolution Research Journal.
Publication status
The study is pre-registered and awaits execution. No result exists yet.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for CAL-07 are available to Terminal + AI members.
Symbols
SPX
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
60 min · close