Ivolution Research Journal · Working paper
Opening expected-move close state, direction, and fixed-risk expression
A calibrated opening model can improve the SPX official-close distribution over inside/outside-up/outside-down versus strictly prior option-implied, volatility, price, liquidity, calendar, and event baselines; prior outside streaks may mean-revert, persist, or add no information, and gamma/news contributions must survive nested ablation before attribution.
Cite as: VRP-18: Opening expected-move close state, direction, and fixed-risk expression. 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
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
close