Ivolution Research Journal · Preregistration
Gamma regime x VIX regime interaction on intraday momentum
The intraday return autocorrelation gap between negative-gamma and positive-gamma sessions is larger in high-VIX regimes than in low-VIX regimes -- i.e. dealer-hedging amplification is state-dependent, strongest when both gamma is negative and vol is elevated.
Cite as: GEX-15: Gamma regime x VIX regime interaction on intraday momentum. Ivolution Research Journal.
Publication status
The study is pre-registered and awaits execution. No result exists yet.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for GEX-15 are available to Terminal + AI members.
Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
30 min · 60 min · close