Ivolution Research Journal · Working paper

0DTE-scoped head-to-head (rank-corr) — does flow-implied (B) order realized range better than OI (A)?

Across the admitted 0DTE sessions, the signed 0DTE FLOW-IMPLIED net GEX (B) rank-orders the session's realized range (range_vs_em) AT LEAST AS WELL AS the shipped naive-OI net GEX (A), with the directional prior that B is BETTER. Measured by a PAIRED per-session difference in Spearman rank correlation with realized range: delta_rho = rho_B - rho_A, block-bootstrapped by session. Two-sided and falsifiable both ways: null is delta_rho = 0 (B no better than A); delta_rho < 0 means B orders realized range worse than the shipped OI read.

GEX-39 · v1·Proposed·Plausible — unproven·Dealer gamma

Cite as: GEX-39: 0DTE-scoped head-to-head (rank-corr) — does flow-implied (B) order realized range better than OI (A)?. 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

Not explicitly scoped

Regimes

Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day

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GEX-39: 0DTE-scoped head-to-head (rank-corr) — does flow-implied (B) order realized range better than OI (A)? — Ivolution Research Journal