Ivolution Research Journal · Inconclusive report
Gamma sign → intraday autocorrelation (momentum vs mean-reversion)
Consecutive non-overlapping post-09:35 30-minute SPX returns agree in sign more often in negative-net-GEX sessions than in positive-net-GEX sessions, with negative gamma above and positive gamma below the unconditional agreement rate.
Cite as: GEX-02: Gamma sign → intraday autocorrelation (momentum vs mean-reversion). Ivolution Research Journal.
Publication status
The completed study did not produce decisive evidence for or against the hypothesis. It is not citable as an edge.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for GEX-02 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
30 min