Experiments

Dealer gamma level damps rest-of-day realized volatility beyond morning RV and IV

Dealer positioning damps rest-of-day realized volatility beyond both the morning's own realized vol and the option market's implied forecast: the positioning program's headline result.

t = -4.23 · p = 0.001

Options premium bursts predict volatility expansion over the next 15 minutes

Extreme options premium bursts do not mark volatility expansion either: 0.006 log units against a clock-matched control, which retires the burst representation in the magnitude space as well as the directional one.

t = 0.75 · p = 0.47

Relative morning IV across names predicts relative rest-of-day realized volatility

Remove the market-wide volatility level and relative implied volatility still predicts relative afternoon realized vol: the cross-section carries information of its own.

t = 3.94 · p = 0.002

Options premium bursts drift in the burst direction over the next 15 minutes

Extreme options premium bursts are not followed by drift in the burst direction: 0.32 basis points over the next fifteen minutes, across 3,341 events.

t = 0.69 · p = 0.51

Dealer gamma regime conditions whether opening price shocks continue or revert into the close

Dealer positioning did not condition whether an opening shock continued or reversed. A clean interaction null, with a positioning level effect left behind as a diagnostic.

t = 0.46 · p = 0.65

Cross-sectional opening options pressure predicts relative 09:41-to-close returns across mega-cap names

Ranking mega-caps by their opening options pressure did not rank their subsequent returns: a 2.8 basis point spread that permutation puts squarely in the noise.

t = 0.25 · p = 0.80

Aggressor-partitioned opening options pressure predicts 09:41-to-close underlying return

Separating buyer-initiated from seller-initiated opening premium did not rescue the directional claim: the sharper measure is null too, and marginally the wrong way.

t = -0.56 · p = 0.61

Opening 10-minute aggregate options pressure predicts 09:41-to-close underlying return

Opening options premium pressure did not predict the rest of the session's return on the two index proxies: a clean null on the aggregate representation.

t = 1.57 · p = 0.13

Flow followed by open-interest growth as persistent positioning

Retired unrun: the open-interest snapshot's intraday vintage could not be established from archives. A later prospective probe cleared it and reopened the family.

Morning implied volatility predicts rest-of-day realized volatility beyond morning realized volatility

Morning implied volatility predicts rest-of-day realized volatility beyond morning realized vol: the instrument's calibration check on a textbook effect.

t = 5.52 · p = 0.001