Ivolution Research Journal · Working paper
Intraday EM-utilization: continuation vs exhaustion by gamma regime
High early intraday EM-utilization predicts rest-of-day continuation in negative-gamma regimes and exhaustion/reversion in positive-gamma regimes; unconditionally it predicts neither.
Cite as: VRP-14: Intraday EM-utilization: continuation vs exhaustion by gamma regime. 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
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