Ivolution Research Journal · Inconclusive report
Quad-witching-day negative drift
Quad-witching sessions (quarterly simultaneous expiry of index futures, index options, stock futures, and stock options) carry a lower close-to-close return than ordinary monthly-OPEX Fridays.
Cite as: CAL-16: Quad-witching-day negative drift. 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-16 are available to Terminal + AI members.
Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
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