Ivolution Research Journal · Working paper
Initial-balance breakout, gamma-split
Breakouts of a narrow initial balance (first-hour range) continue at a higher rate than the matched baseline, and the edge concentrates in negative-gamma regimes; a symmetric SHORT leg is included so the test cannot be inflated by market drift.
Cite as: MST-07: Initial-balance breakout, gamma-split. 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
close