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Statistiche › Opzioni, short e posizionamento › 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 gammanegativo

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

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