Ivolution Research Journal · Preregistration
Vanna vol-crush drift, residualized on the VIX move
On days with a large VIX DECLINE (top-decile), positive-vanna dealer hedging adds upward drift BEYOND the mechanical price-vol comovement -- i.e. after residualizing on the size of the VIX move itself, a vanna-attributable drift remains.
Cite as: VC-06: Vanna vol-crush drift, residualized on the VIX move. 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-06 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
close · 1 session