Dealer positioning measured from the options surface, tested as a volatility state variable. The family opened with an honest instrumentation failure: the question of whether flow followed by open-interest growth marks persistent positioning was retired unrun, because the open-interest snapshot's intraday vintage could not be established from archives (a live probe later cleared it). The interaction form of positioning came back null, but the level effect is the program's first discovery: morning dealer positioning damps rest-of-day realized volatility beyond both the morning's own realized vol and the option market's implied forecast. Follow-ups on persistence and the cross-sectional form publish as the ledger releases.
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
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
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.
no test was run
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