Ivolution Research Journal · Working paper
Intraday momentum, gamma-conditioned
The sign of the rest-of-day return (after the first half hour) predicts the sign of the last-30-minute return, and the effect concentrates in negative-gamma regimes and on high-vol days.
Cite as: MST-06: Intraday momentum, gamma-conditioned. 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
SPX · SPY · QQQ
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
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