Ivolution Research Journal · Working paper
REFUTE: vanna-rally directional drift beyond the VIX move
On vol-crush days there is NO residual upward directional drift attributable to vanna once the drift is residualized on the VIX move itself; the 'vanna rally' is price-vol comovement, not a separate forward edge.
Cite as: VC-07: REFUTE: vanna-rally directional drift beyond the VIX move. 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 · 30 min