Ivolution Research Journal · Preregistration
Intraday net-GEX decline predicts late-day vol expansion
A large intraday DECLINE in net GEX from the open to midday (top-decile negative dGEX) predicts a wider final-two-hours realized range than the session-open GEX level alone implies -- the RATE of gamma erosion adds forecast power over the level.
Cite as: GEX-17: Intraday net-GEX decline predicts late-day vol expansion. 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-17 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
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