Ivolution Research Journal · Working paper
Vol-of-vol -> forward tail range
Sessions in the top quintile of vol-of-vol (dispersion of intraday ATM-IV changes) over trailing 20 sessions are followed by larger forward realized range than the matched baseline over 1/3 sessions.
Cite as: VRP-10: Vol-of-vol -> forward tail range. 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
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
1 session · 3 sessions