Ivolution Research Journal · Working paper
Trade-signed GEX vs sign-assumed GEX for realized volatility
A dealer-gamma estimate built from MEASURED trade sign (Lee-Ready on the NBBO-at-trade options tape) predicts next-hour realized volatility better than the standard sign-ASSUMED (long-call/short-put) GEX, especially when the two disagree.
Cite as: FLOW-11: Trade-signed GEX vs sign-assumed GEX for realized volatility. 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 FLOW-11 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
60 min