Ivolution Research Journal · Working paper
OPEX-week return pattern, gamma-conditioned
The monthly option-expiration week shows an abnormal index return relative to matched non-OPEX weeks, and the sign/size depends on the prevailing dealer-gamma regime entering the week.
Cite as: CAL-09: OPEX-week return pattern, gamma-conditioned. Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
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Symbols
SPX · SPY · QQQ
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
close