Ivolution Research Journal · Working paper
Market-open SPXW long convexity conditioned on gamma
At least one preregistered opening-known condition may identify separately positive net hold-to-settlement expectancy in a one-lot SPXW 0DTE long straddle or debit iron condor after executable natural fills, slippage, fees, tail risk, and capacity; gamma must add stable untouched- holdout value beyond option-implied, volatility, price, liquidity, calendar, and placebo controls.
Cite as: VRP-19: Market-open SPXW long convexity conditioned on gamma. 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
SPY · QQQ
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
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