English
Rejoindre la liste d'attente
Les livres... mais pas gratuits
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatistiquesStatistiques de marché et edges1,327StratégiesBibliothèque de stratégies backtestées18Articles de rechercheL’étude derrière les algos301DocumentationRéférence ProBuilder27Programme de développement d’algosCours et leçons24Tout ceci alimente les 24 algosVoir les algos

Stats › Options, positions short et positionnement › Gamma and momentum

Intraday momentum in index futures exists only on negative gamma days

Net gamma positive: 0.82+0.82Net gammapositiveNet gamma negative: 6.63+6.63Net gammanégatif

Slope of the last-half-hour return on the rest-of-day return for the S&P 500, split on lagged net gamma exposure. t statistics 1.03 and 4.78, adjusted R squared 0.05% and 3.58%. The interaction term is minus 123.04 with a t statistic of minus 3.42. Gamma analysis covers January 1996 to May 2020.

The afternoon of an index futures session follows the morning, with a pooled t statistic of 7.29 over forty-six years. Split the sample on dealer net gamma and the effect is entirely absent when gamma is positive.

t = 7.29Pooled slope of the last half hour on the rest of the day, equity index futures
t = 1.03Slope when dealer net gamma is positive: no momentum at all
t = 4.78Slope when net gamma is negative
1.73Sharpe ratio of the pooled timing strategy, gross of costs

Réservé aux membres

La suite de cette page est réservée aux membres

Below this point there are 4 sections and 2 named sources, roughly 450 words of it. Every figure carries the source it came from and the date the data is from.

Vous pouvez continuer à parcourir gratuitement toutes les statistiques de la bibliothèque. L'introduction et le résumé sont toujours accessibles.