Prior-close expected-move premium

On an untouched chronological SPX evaluation window, the prior-close fixed straddle expected move exceeds the subsequent session's absolute close move by a positive median fraction of spot, and that positive premium is sign-stable across both evaluation halves.

Pre-registered trigger

Every regular SPX session D with an authenticated fixed band known before D opens. The band is D-1's exact final completed underlying close plus/minus the two-sided ATM call+put mid for D's PM-settled SPXW expiration, observed at the exact D-1 close.

Outcomes and horizons

Outcomes: em_minus_abs_close_bps, closed_within_em_rate, range_vs_em. Horizons: close.

Matched baseline

Primary null: median em_minus_abs_close_bps = 0 on the untouched evaluation window. The old 50% containment null is retired because a call-plus-put move has no universal 50% whole-range containment implication. Close and range containment remain descriptive calibration outputs.

Matching fields: none declared.

Exclusions

Missing, one-sided, crossed, stale, or wrong-series D-1 ATM straddle inputs. · Band source_day is not the exact prior exchange session or computed_from is not its close. · Band and outcome candles do not share the active authenticated Gold generation and binding. · Incomplete, duplicated, null, nonfinite, or early-close paths in the frozen primary arm.

Systematic demand for index-option protection can keep the one-session straddle-implied move above the move subsequently delivered. That spread compensates option sellers for crash and volatility-of-volatility risk; it is not itself a trading return or an option-selling claim.

Prior evidence

The index variance-risk premium is established in the literature, but the exact Ivolution construction is not: a D-1 close SPXW straddle, D-1 underlying anchor, and next-session close or full-range outcome differ from standard variance-swap and longer-tenor evidence. The exact effect, calibration, and regime stability therefore remain unproven.

Required governed inputs

chain_snapshots · price_bars · ledger

At least one required data source is not yet captured; the publication remains data-blocked.

Current research notes

Readiness report: research/expected_move_overpricing/READINESS_REPORT.md. Version 1 is retired without a governed result: its registry specified a same-day 09:35 straddle while the old native harness substituted a D-1 close band and used an arbitrary 50% containment null. A 2026-08-14 production inventory found 279 direct SPX bands, 273 accepted by the old >=380-row rule, only 64 complete distinct regular-session grids, and zero bands bound through the current authenticated expected-move Gold authority. A real-PostgreSQL production-publisher regression proves the v2 gate can pass on 252 complete identities and refuses an in-cohort generation mutation; its synthetic values carry no market assertion rights. No old +bps or containment statistic has v2 assertion rights.

Full-distribution reporting requires n ≥ 126; smaller samples at or above n = 30 are limited to the pre-declared reduced summary.

Statistics

hit_rate_vs_baseline · median_excess · bootstrap_ci95_block_by_session · split_half_stability · session_sign_randomization

Multiple testing

registry wide bh fdr 10.

Out-of-sample protocol

Freeze the first 252 regular sessions on the active Gold spine before opening outcomes. The first 126 are construction and QA only; the next 126 are untouched evaluation. Every frozen session must satisfy the authenticated source contract—a missing identity remains a hole and cannot pull a later session into evaluation. Require at least 20 complete NYSE evaluation weeks. Bootstrap complete session weeks, run a two-sided session sign-randomization test around zero, report both chronological halves, and include aggregate, regime, and prior-VIX-tercile cells in the declared registry-wide FDR family.

No result exists. This paper publishes the frozen design, not a finding.

With adequate authenticated support, refute the overpricing claim if the untouched evaluation interval for median em_minus_abs_close_bps includes zero or either chronological evaluation half has a nonpositive median. Conditioning cells may restrict the scope of a surviving aggregate claim but cannot rescue a failed primary or overturn it merely because a cell is underpowered.

The lifecycle label is not a confidence score. It describes where this exact version sits in the pre-registered validation process.

1. Carr & Wu "Variance Risk Premia" (RFS 2009); Bakshi & Kapadia (RFS 2003); Bollen & Whaley (JF 2004)

   Qualitative prior: index option implied variance systematically exceeds subsequently realized variance — sellers of index vol earn a persistent premium; demand pressure from hedgers (Bollen-Whaley) sustains it.

Study identity

VRP-01 v2

Definition hash

3bb826f6d4f8755c40433d92c4424d64cdaffdd20f9a77820f1914bf14521172

Result data window

No current result window is available.

Last research run

No current result run is available.

Result identity

No current result identity is attached.

Supersession

No superseded result is being served.

Related studies

VRP-02, VRP-06, GEX-10, X-05