Ivolution Research Journal · Working paper
Regime-sign disagreement cells — is B's sign more predictive of intraday variance than A's?
Partition sessions by the joint sign of the two 9:35 estimates into four cells: agree-positive (A>0,B>0), agree-negative (A<0,B<0), and the two DISAGREEMENT cells (A>0,B<0) and (A<0,B>0). In the disagreement cells, same-day intraday realized variance tracks the FLOW-IMPLIED sign (B) more than the naive-OI sign (A): B-negative disagreement sessions realize WIDER intraday variance than B-positive disagreement sessions, by more than A's sign orders the same sessions. This is the direct test of whether the fresher estimate governs 0DTE hedging when OI and flow point opposite ways.
Cite as: GEX-35: Regime-sign disagreement cells — is B's sign more predictive of intraday variance than A's?. Ivolution Research Journal.
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The study is published as a working paper while a required data source remains unavailable. No result exists yet.
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Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
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