Ivolution Research Journal · Preregistration
Post-OPEX gamma roll-off destabilization
The week AFTER monthly/quarterly OPEX shows higher realized volatility than the week before, conditional on a large amount of near-money gamma having rolled off at expiration.
VC-03 · v1·Proposed·Narrative — weak evidence·Vanna & charm
Cite as: VC-03: Post-OPEX gamma roll-off destabilization. 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-03 are available to Terminal + AI members.
Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
5 sessions