Ivolution Research Journal · Working paper
Third-Friday SOQ charm overnight drift
The overnight return into monthly (3rd-Friday) SOQ-settled expirations is positively biased and partially reverses by midday, scaling with the magnitude of dealer charm, on those days and not on matched non-expiration days.
Cite as: CAL-08: Third-Friday SOQ charm overnight drift. Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for CAL-08 are available to Terminal + AI members.
Symbols
SPX · SPY · QQQ
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
30 min · 120 min · close