Ivolution Research Journal · Working paper
GEX-range effect vs underlying liquidity
The strength of the net-GEX -> intraday-range relation is monotonically greater in QQQ than in SPX/SPY, because the mechanical hedging impact scales inversely with underlying liquidity.
Cite as: GEX-07: GEX-range effect vs underlying liquidity. 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
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
120 min · close