Ivolution Research Journal · Inconclusive report
Overnight vs intraday drift split (where does the index return live?)
The index's positive drift is concentrated in the OVERNIGHT (prior-close → open) return, with the intraday (open → close) return near zero or negative — the documented overnight/intraday split.
Cite as: CAL-10: Overnight vs intraday drift split (where does the index return live?). Ivolution Research Journal.
Publication status
The completed study did not produce decisive evidence for or against the hypothesis. It is not citable as an edge.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for CAL-10 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
close