Ivolution Research Journal · Working paper
Signed hedging flow leads price? (SpotGamma HIRO refutation)
Signed dealer-hedging delta flow at window t does NOT predict forward returns at t+30/60 min beyond the CONTEMPORANEOUS flow-return relationship once VIX/regime-controlled - i.e. HIRO does not lead price as claimed.
Cite as: FLOW-09: Signed hedging flow leads price? (SpotGamma HIRO refutation). 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
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
15 min · 30 min · 60 min