Ivolution Research Journal · Preregistration
Overnight charm deficit drift
Overnight (close-to-open) SPX returns are more positive on the highest-charm nights (large near-money OTM put OI, low vol) than on baseline nights.
VC-04 · v1·Proposed·Narrative — weak evidence·Vanna & charm
Cite as: VC-04: Overnight charm deficit drift. 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-04 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
1 session