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.

The governed result store is unavailable. The paper remains readable, but no cached or frozen statistic is substituted.

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

No current result window is available.

Last research run

No current result run is available.

Result identity

No current result identity is attached.

Supersession

No superseded result is being served.

Related studies

GEX-02, GEX-10, X-01