Gamma range-signal EM-normalized — is GEX-01's range already priced by the straddle?

Adding the exact 09:35 net-GEX state to a strictly prior, expected-move-aware forecast improves untouched prediction of the remaining-session realized range beyond the same forecast without GEX; otherwise GEX-01 is a volatility-state description already priced by the option market.

Pre-registered trigger

At 09:35 ET, classify the exact point-in-time all-expiry net-GEX value by its strictly trailing 60-session distribution. The outcome starts with the first complete minute after the decision and is the remaining-session high-low range normalized by the exact D-1-close straddle expected move. No price after 09:35 may enter the trigger or its controls.

Outcomes and horizons

Outcomes: range_vs_em. Horizons: close.

Matched baseline

Primary comparison is paired out-of-sample loss for a baseline forecast versus the identical forecast plus continuous signed/magnitude GEX and prior-only GEX tails. Baseline features are D-1 expected move/ATM IV, 09:30-09:34 opening range and RV, overnight return/volatility, strictly prior HAR/range memory, day of week, macro flag, and available liquidity controls.

Matching fields: day_of_week · expected_move · opening_realized_vol · overnight_vol · recent_range.

Exclusions

{"tier1_macro_blackout_min":30}

GEX-01 (validated) establishes that net-GEX sign predicts realized range in absolute terms; VRP-01 establishes that the 0DTE straddle EM already prices most of that range. The open question that decides monetizability: does the straddle SCALE for the gamma regime (range ÷ EM ≈ 1 on both signs — the signal is real for vol but not an options edge) or does negative-gamma range OUTRUN the implied move (range ÷ EM > 1 — a tradeable surprise)? The load-bearing separation is the atm_iv control: EM is a monotone transform of atm_iv, so a real gamma effect must survive residualizing range ÷ EM on atm_iv, distinguishing "gamma predicts range beyond IV" from "gamma IS IV".

Prior evidence

(b) mechanically plausible, unproven. GEX-01 is validated in raw bps; VRP-01 is thin (native premium +6.3 bps, p=0.078). No published test of whether the dealer-gamma range premium survives EM-normalization at our granularity — this study is the graph bridge between the two mechanisms.

Required governed inputs

chain_snapshots · em_bands · intraday_snapshots · macro_calendar

At least one required data source is not yet captured; the publication remains data-blocked.

Current research notes

Published report: research/gamma_em_surprise/REPORT.md. Version 2 supersedes, but does not execute, research/gex01_em. No direction, support/resistance, magnet, straddle-P&L, or trading right is tested. Before outcomes open, an outcome-blind metadata audit must prove the exact 09:35 GEX and D-1 expected-move fields are point-in-time authenticated; otherwise publication is inconclusive with no numerical claim. The 2026-08-14 metadata-only audit found 682 candidate 09:35 GEX sessions and 280 expected-move sessions, but zero canonical temporal identities, zero content-bound GEX sessions, zero generation-bound expected moves, zero active Gold generations, and zero lineage-bound paired sessions. No outcomes were opened.

Full-distribution reporting requires n ≥ 30; smaller samples at or above n = 20 are limited to the pre-declared reduced summary.

Statistics

hit_rate_vs_baseline · median_excess · bootstrap_ci95_block_by_session · split_half_stability

Multiple testing

registry wide bh fdr 10.

Out-of-sample protocol

Expanding walk-forward only. Every prediction is fit on strictly earlier sessions; feature transforms, imputation, tail cutoffs, and model selection are learned inside that prior window. Baseline and challenger share identical paired evaluation sessions. Calendar-week blocks are used for inference; era and year stability are reported. This historical corpus can produce at most candidate evidence and requires a later prospective replication for validation.

The governed result store is unavailable. The paper remains readable, but no cached or frozen statistic is substituted.

Refute incremental GEX information if the untouched paired forecast-skill lower bound is not positive after the declared family correction, if either time-shifted or matched-random GEX placebo performs as well, or if the sign is not stable across powered eras. Mark inconclusive, never refuted, when authenticated point-in-time inputs or paired support are inadequate. This leaves GEX-01's absolute same-day range classification untouched.

The lifecycle label is not a confidence score. It describes where this exact version sits in the pre-registered validation process.

No structured reference note is currently linked. The prior-evidence section remains the declared literature context.

Study identity

GEX-37 v2

Definition hash

d59983902da4657be4cdbe4bf3da19055fa6c4d357dc2d34d926108aa4180fce

Result data window

No current result window is available.

Last research run

No current result run is available.

Result identity

No current result identity is attached.

Supersession

No superseded result is being served.

Related studies

GEX-01, GEX-06, VRP-01