Net gamma sign → realized range

Sessions whose 9:35am net GEX sits in the bottom decile of the trailing 60 sessions realize a wider RTH range (range_pct and range_vs_em) than top-decile sessions, and both tails differ from the all-session baseline.

Pre-registered trigger

Session-level classification at 9:35am ET: net all-expiry GEX percentile vs trailing 60 sessions. Deciles ≤10 (short-gamma tail) and ≥90 (long-gamma tail) are the conditions; the middle is baseline mass.

Outcomes and horizons

Outcomes: range_pct, range_vs_em, drift_pct. Horizons: 60 min · 120 min · close.

Matched baseline

All sessions in window, day-of-week matched (0DTE volume has DOW structure — CAL-04). Regime matching is NOT applied here: net GEX partly DEFINES regime; matching on it would condition away the effect under test.

Matching fields: day_of_week.

Exclusions

No exclusions are declared in the current definition.

Dealers short gamma must hedge in the direction of the move (sell into weakness, buy into strength), amplifying realized range; dealers long gamma hedge against the move, damping it. This is the least deniable mechanical claim in index options — and the premise of the entire product.

Prior evidence

Barbon & Buraschi document gamma-driven fragility in equity markets; SqueezeMetrics' GEX whitepaper popularized the dealer-gamma/realized-vol relationship; the damping/amplifying asymmetry is consistent across practitioner research. Strongest prior in the catalog. Our test adds: OUR construction (naive convention, Black-76 on forward, specs/03), OUR symbols, intraday horizons, honest baselines.

Required governed inputs

chain_snapshots · regime_labels

The registry marks the required data path ready for study execution.

Current research notes

Priority #1. If this fails on our data, the core product premise needs re-examination before any downstream study is trusted — that outcome would be the most important result the library could produce.

Full-distribution reporting requires n ≥ 30; smaller samples at or above n = 20 are limited to the pre-declared reduced summary.

Statistics

hit_rate_vs_baseline · median_excess · bootstrap_ci95_block_by_session · split_half_stability

Multiple testing

registry wide bh fdr 10.

Out-of-sample protocol

Percentile windows frozen with the calibration backfill; validated only on walk-forward evaluation sessions.

point-in-time provenance absent or ineligible; legacy assertion withheld

Top- and bottom-decile range_pct distributions are statistically indistinguishable (95% CI on median difference includes 0) in both split halves of the evaluation window.

The lifecycle label is not a confidence score. It describes where this exact version sits in the pre-registered validation process.

1. Barbon & Buraschi, "Gamma Fragility" (2020/2021), DOI 10.2139/ssrn.3725454

   Qualitative prior: aggregate dealer gamma imbalance affects realized volatility and return autocorrelation — negative dealer gamma amplifies moves (hedging with the move), positive damps.

Study identity

GEX-01 v1

Definition hash

11013a1e11a59ebaf0452b7e43df09765b45a95563d31d702c1db906c6ff48be

Result data window

2025-06-30 — 2026-07-09

Last research run

2026-07-14 07:56:50.197691+00:00

Result identity

7c0c681953099caf5ea8cbab4a98916d3696c5cdf7277b6c283720efa111ff0f

Supersession

point-in-time provenance absent or ineligible; legacy assertion withheld

Related studies

GEX-02, GEX-10, X-01, X-03