Ivolution Research Journal · Preregistration
Vanna compression rally
On days with a top-decile single-day DROP in VIX, SPX shows positive same-session-plus-next-open drift beyond its unconditional mean.
VC-02 · v1·Proposed·Narrative — weak evidence·Vanna & charm
Cite as: VC-02: Vanna compression rally. Ivolution Research Journal.
Publication status
The study is pre-registered and awaits execution. No result exists yet.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for VC-02 are available to Terminal + AI members.
Symbols
SPX
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
close · 1 session