Ivolution Research Journal · Working paper
Extreme late options flow × weak price response → next-session continuation or reversal
Extreme 15:30–15:50 ET aggressor-signed option delta flow with upper-quartile, strictly-prior-normalized price nonresponse changes the flow-signed next-session return relative to high-flow/responded, price-matched normal-flow, and ordinary matched sessions after price, volatility, gamma, liquidity, calendar, and event controls; the two-sided sign distinguishes continuation from reversal.
Cite as: FLOW-13: Extreme late options flow × weak price response → next-session continuation or reversal. 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 · ES
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
1 session