Ivolution Research Journal · Working paper
A/B GEX divergence series as a candidate signal (flow repositioning ahead of OI)
The divergence is WP-2's precomputed gamma_map.flow_implied.divergence.net_gex_divergence (= B - A = net_gex_flow_implied - net_gex). To make it cross-session comparable the registered series is its trailing-60-session z-score, div_t = z(net_gex_divergence_t), point-in-time (the panel-native net_gex_divergence_frac = (B-A)/|A| is the pre-registered robustness alternative). Sessions whose 9:35 |div| is in the top decile of the trailing 60 sessions — flow-implied positioning has moved far ahead of open interest — realize (i) a WIDER forward RTH range than the day-of-week/time-of-day matched baseline, and (ii) a forward drift SIGNED toward B's implied regime relative to A (div>0, i.e. B more long-gamma than A, damps; div<0 amplifies). Falsifiable on both the range and drift legs.
Cite as: GEX-36: A/B GEX divergence series as a candidate signal (flow repositioning ahead of OI). 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
ES
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
60 min · 120 min · close