Ivolution Research Journal · Working paper
Directional flow x VRP state (interaction)
The forward excess drift after strong signed options flow is conditional on the variance-risk-premium state: weaker when vol is rich (moves already priced) and stronger when vol is cheap.
Cite as: X-10: Directional flow x VRP state (interaction). 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
30 min · 60 min · 120 min