Ivolution Research Journal · Preregistration
0DTE share dampens realized vol
On days with top-decile 0DTE SPX volume share, close-to-close realized vol is LOWER than the bottom-decile baseline, after controlling for VIX level.
VRP-07 · v1·Proposed·Established literature·Vol risk premium
Cite as: VRP-07: 0DTE share dampens realized vol. 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 VRP-07 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