{ "ok": true, "part": "B \u2014 the app measuring its own claim", "sym": "SPY", "validation": { "built_utc": "2026-09-06T09:20:03Z", "source": "/var/www/bitcoin-fund-manager.com/apps2/omniverse/data/omniverse_2026.tsv", "method": { "signal": "local_gamma_at_spot at session t \u2014 net dealer gamma at the strike nearest spot, OI-weighted, OI-ONLY. A missing open interest is MISSING, never zero and never swapped for volume.", "not_the_signal": "gamma_flip is NOT used as the regime measure. It is the cumulative gamma curve's zero-crossing \u2014 a level, not a regime boundary.", "outcome": "the NEXT session, four ways", "outcomes": { "range": "hl_range_pct \u2014 high-to-low swing as a % of price. How big the session was.", "absret": "|ret_pct| \u2014 close-to-close move, absolute. How far it actually got.", "eff": "|close-open| / (high-low). 1.0 = one-way BLAST. Near 0 = travelled a long way and ended where it started \u2014 JAGGED BROKEN SHARDS.", "fade_rate": "of the sessions that traded beyond the PRIOR session's high or low, the share that closed back INSIDE it \u2014 the FAILED-BREAKOUT rate the pinning story predicts should be higher when dealers are long gamma." }, "control": "range expressed in units of what the option market already charged: ratio = hl_range_pct(t+1) / (atm_iv_front(t)/sqrt(252)). Vol-neutral by construction. Second, independent form: partial Spearman against atm_iv_front(t).", "breakeven_formula": "atm_iv_front / sqrt(252) (Lakha corrected). The absolute 0.5-0.6% / 2-3% buckets were FALSIFIED and are used nowhere.", "quintiles": "cut WITHIN each root \u2014 dealer gamma is denominated in that root's own dollars, so pooled cuts across roots would be a scale artefact." }, "caveats": [ "POOLED SIGNIFICANCE IS OVERSTATED. The roots share the same market days and SPY/SPX/QQQ are close to the same trade, so a pooled n is not that many independent observations \u2014 the effective n is nearer the per-root session count.", "SPXW is excluded from every pooled set: same underlying as SPX, so its outcome rows are duplicates.", "THE WEEKEND ARTEFACT. breakeven divides by sqrt(252) TRADING days, so a Friday reading is compared against a Monday session carrying three calendar days of risk. Measured below as friday_artefact. Friday rows carry weekend_span=true.", "2026 only. The OI-weighted gamma archive starts 2026-03-02 (the OCC open-interest purchase window), so there is no multi-year sample and no other market regime in it.", "This measures ASSOCIATION on banked sessions. It is not a trading result and carries no costs, slippage or capacity.", "DIFFERENT CONSTRUCTION FROM THE LIVE READ. These hit rates are measured on the DAILY DOLLAR-GEX AGGREGATE, because that is the only per-session gamma that exists back through 2026-02. The live panel on this page is built on per-strike NETTED CONTRACT COUNTS from the 5-minute chain recorder, which only starts 2026-08-05. Dollar gamma at a strike explodes as spot approaches it and collapses as it leaves, so the aggregate is exactly the weaker construction \u2014 this table does not validate the live measure exactly, and it is not claimed to." ], "per_root": { "SPY": { "n": 130, "span": [ "2026-03-02", "2026-09-04" ], "quintiles": [ { "q": 1, "n": 27, "sig_lo": -5521010726, "sig_hi": -1175706596, "sig_med": -2017928278, "range_med": 0.8488, "range_p25": 0.5673, "range_p75": 1.3237, "absret_med": 0.6835, "eff_med": 0.5, "rv_med": 8.1122, "gap_med": 0.3844, "be_med": 0.9032, "ratio_med": 0.925, "ratio_p25": 0.6569, "ratio_p75": 1.2955, "n_breakout_attempt": 25, "fade_rate": 0.32 }, { "q": 2, "n": 26, "sig_lo": -1112124623, "sig_hi": -305006416, "sig_med": -678617386.5, "range_med": 0.8718, "range_p25": 0.6655, "range_p75": 1.2263, "absret_med": 0.6453, "eff_med": 0.5269, "rv_med": 10.1298, "gap_med": 0.49, "be_med": 1.0732, "ratio_med": 0.9496, "ratio_p25": 0.6082, "ratio_p75": 1.1043, "n_breakout_attempt": 22, "fade_rate": 0.4091 }, { "q": 3, "n": 25, "sig_lo": -165057665, "sig_hi": 738005385, "sig_med": 131787248, "range_med": 0.9991, "range_p25": 0.9468, "range_p75": 1.3071, "absret_med": 0.5419, "eff_med": 0.2746, "rv_med": 11.0533, "gap_med": 0.5843, "be_med": 1.0908, "ratio_med": 1.0463, "ratio_p25": 0.7021, "ratio_p75": 1.2052, "n_breakout_attempt": 23, "fade_rate": 0.4348 }, { "q": 4, "n": 26, "sig_lo": 761445252, "sig_hi": 1825172694, "sig_med": 1266825257.5, "range_med": 0.8658, "range_p25": 0.6519, "range_p75": 1.087, "absret_med": 0.5461, "eff_med": 0.5591, "rv_med": 7.5836, "gap_med": 0.1867, "be_med": 0.8026, "ratio_med": 1.0138, "ratio_p25": 0.7378, "ratio_p75": 1.1679, "n_breakout_attempt": 24, "fade_rate": 0.2083 }, { "q": 5, "n": 26, "sig_lo": 1964986631, "sig_hi": 17582856549, "sig_med": 3631928602.5, "range_med": 0.7249, "range_p25": 0.501, "range_p75": 0.9697, "absret_med": 0.325, "eff_med": 0.5553, "rv_med": 7.2405, "gap_med": 0.2199, "be_med": 0.7362, "ratio_med": 1.0955, "ratio_p25": 0.7221, "ratio_p75": 1.4093, "n_breakout_attempt": 25, "fade_rate": 0.4 } ], "raw": { "range": { "rho": -0.1178, "n": 130, "p": 0.1823 }, "absret": { "rho": -0.14, "n": 130, "p": 0.1123 }, "eff": { "rho": 0.0215, "n": 130, "p": 0.8086 } }, "controlled": { "ratio": { "rho": 0.0939, "n": 130, "p": 0.2886 }, "range_given_iv": { "rho": 0.0491, "n": 130, "p": 0.5812, "controls": 1 } } }, "QQQ": { "n": 130, "span": [ "2026-03-02", "2026-09-04" ], "quintiles": [ { "q": 1, "n": 27, "sig_lo": -4481648135, "sig_hi": -374606568, "sig_med": -735046909, "range_med": 1.4705, "range_p25": 1.0396, "range_p75": 1.8579, "absret_med": 1.0266, "eff_med": 0.5518, "rv_med": 15.4927, "gap_med": 0.7441, "be_med": 1.3427, "ratio_med": 1.0689, "ratio_p25": 0.7584, "ratio_p75": 1.3804, "n_breakout_attempt": 25, "fade_rate": 0.28 }, { "q": 2, "n": 26, "sig_lo": -368788690, "sig_hi": -94428556, "sig_med": -244479056.5, "range_med": 1.4988, "range_p25": 1.2019, "range_p75": 2.0094, "absret_med": 1.2321, "eff_med": 0.4151, "rv_med": 16.064, "gap_med": 0.8612, "be_med": 1.6398, "ratio_med": 0.8742, "ratio_p25": 0.7857, "ratio_p75": 1.1657, "n_breakout_attempt": 24, "fade_rate": 0.125 }, { "q": 3, "n": 25, "sig_lo": -80199511, "sig_hi": 129934014, "sig_med": 30941672, "range_med": 1.4691, "range_p25": 0.9921, "range_p75": 1.7649, "absret_med": 0.8293, "eff_med": 0.4477, "rv_med": 14.2112, "gap_med": 0.7928, "be_med": 1.4134, "ratio_med": 0.9181, "ratio_p25": 0.7656, "ratio_p75": 1.2258, "n_breakout_attempt": 25, "fade_rate": 0.24 }, { "q": 4, "n": 26, "sig_lo": 148245327, "sig_hi": 808170797, "sig_med": 469132479.5, "range_med": 1.2947, "range_p25": 1.0094, "range_p75": 1.8057, "absret_med": 0.9964, "eff_med": 0.5236, "rv_med": 12.1336, "gap_med": 0.2429, "be_med": 1.176, "ratio_med": 1.1002, "ratio_p25": 0.8958, "ratio_p75": 1.2903, "n_breakout_attempt": 23, "fade_rate": 0.3043 }, { "q": 5, "n": 26, "sig_lo": 828319368, "sig_hi": 4719661325, "sig_med": 1561391429.5, "range_med": 1.1244, "range_p25": 0.9141, "range_p75": 1.4459, "absret_med": 0.4962, "eff_med": 0.3724, "rv_med": 11.9168, "gap_med": 0.3178, "be_med": 1.1907, "ratio_med": 0.9449, "ratio_p25": 0.7727, "ratio_p75": 1.4085, "n_breakout_attempt": 25, "fade_rate": 0.4 } ], "raw": { "range": { "rho": -0.1455, "n": 130, "p": 0.0987 }, "absret": { "rho": -0.2453, "n": 130, "p": 0.0048 }, "eff": { "rho": -0.1787, "n": 130, "p": 0.0417 } }, "controlled": { "ratio": { "rho": -0.0024, "n": 130, "p": 0.9782 }, "range_given_iv": { "rho": -0.0297, "n": 130, "p": 0.7386, "controls": 1 } } }, "IWM": { "n": 130, "span": [ "2026-03-02", "2026-09-04" ], "quintiles": [ { "q": 1, "n": 27, "sig_lo": -1124716581, "sig_hi": -193021943, "sig_med": -293436107, "range_med": 1.4098, "range_p25": 1.022, "range_p75": 2.0583, "absret_med": 0.9572, "eff_med": 0.4461, "rv_med": 16.1525, "gap_med": 0.6959, "be_med": 1.5485, "ratio_med": 0.8876, "ratio_p25": 0.7195, "ratio_p75": 1.435, "n_breakout_attempt": 21, "fade_rate": 0.3333 }, { "q": 2, "n": 26, "sig_lo": -188798487, "sig_hi": -49185226, "sig_med": -99745158.5, "range_med": 1.4196, "range_p25": 1.0836, "range_p75": 2.0147, "absret_med": 0.7821, "eff_med": 0.4715, "rv_med": 14.4413, "gap_med": 0.4102, "be_med": 1.4189, "ratio_med": 0.9824, "ratio_p25": 0.7204, "ratio_p75": 1.198, "n_breakout_attempt": 24, "fade_rate": 0.375 }, { "q": 3, "n": 25, "sig_lo": -39429212, "sig_hi": 77320552, "sig_med": 7826769, "range_med": 1.4096, "range_p25": 1.0314, "range_p75": 2.1286, "absret_med": 0.6372, "eff_med": 0.3803, "rv_med": 15.9007, "gap_med": 0.4105, "be_med": 1.4216, "ratio_med": 0.8911, "ratio_p25": 0.615, "ratio_p75": 1.4915, "n_breakout_attempt": 23, "fade_rate": 0.4783 }, { "q": 4, "n": 26, "sig_lo": 83098438, "sig_hi": 251043324, "sig_med": 139158078, "range_med": 1.4895, "range_p25": 1.0078, "range_p75": 1.63, "absret_med": 0.6306, "eff_med": 0.4, "rv_med": 13.1324, "gap_med": 0.3244, "be_med": 1.2675, "ratio_med": 1.1002, "ratio_p25": 0.912, "ratio_p75": 1.3397, "n_breakout_attempt": 25, "fade_rate": 0.28 }, { "q": 5, "n": 26, "sig_lo": 262708118, "sig_hi": 2821446724, "sig_med": 449772381, "range_med": 1.1266, "range_p25": 0.9673, "range_p75": 1.6374, "absret_med": 0.6331, "eff_med": 0.3251, "rv_med": 13.3392, "gap_med": 0.4249, "be_med": 1.1918, "ratio_med": 1.0101, "ratio_p25": 0.8577, "ratio_p75": 1.3428, "n_breakout_attempt": 24, "fade_rate": 0.4167 } ], "raw": { "range": { "rho": -0.1364, "n": 130, "p": 0.1219 }, "absret": { "rho": -0.1291, "n": 130, "p": 0.1436 }, "eff": { "rho": -0.0429, "n": 130, "p": 0.6285 } }, "controlled": { "ratio": { "rho": 0.0774, "n": 130, "p": 0.3821 }, "range_given_iv": { "rho": 0.0129, "n": 130, "p": 0.8847, "controls": 1 } } }, "SPX": { "n": 130, "span": [ "2026-03-02", "2026-09-04" ], "quintiles": [ { "q": 1, "n": 27, "sig_lo": -28913605733, "sig_hi": -130548204, "sig_med": -1123703945, "range_med": 0.6739, "range_p25": 0.5211, "range_p75": 1.039, "absret_med": 0.5078, "eff_med": 0.4684, "rv_med": 7.8729, "gap_med": 0.4519, "be_med": 1.0657, "ratio_med": 0.7467, "ratio_p25": 0.5808, "ratio_p75": 0.9227, "n_breakout_attempt": 23, "fade_rate": 0.2174 }, { "q": 2, "n": 26, "sig_lo": -119923492, "sig_hi": -31052764, "sig_med": -51386991, "range_med": 1.2496, "range_p25": 0.9022, "range_p75": 1.6832, "absret_med": 0.7163, "eff_med": 0.6335, "rv_med": 11.6676, "gap_med": 0.5098, "be_med": 1.0457, "ratio_med": 1.0717, "ratio_p25": 0.9259, "ratio_p75": 1.3058, "n_breakout_attempt": 23, "fade_rate": 0.5217 }, { "q": 3, "n": 25, "sig_lo": -30951727, "sig_hi": 40873876, "sig_med": 1279799, "range_med": 0.9224, "range_p25": 0.7107, "range_p75": 1.2623, "absret_med": 0.5072, "eff_med": 0.3812, "rv_med": 8.6838, "gap_med": 0.3974, "be_med": 0.9088, "ratio_med": 1.0228, "ratio_p25": 0.7166, "ratio_p75": 1.3312, "n_breakout_attempt": 25, "fade_rate": 0.28 }, { "q": 4, "n": 26, "sig_lo": 48993376, "sig_hi": 280654342, "sig_med": 99271997.5, "range_med": 0.7331, "range_p25": 0.5745, "range_p75": 0.9133, "absret_med": 0.5263, "eff_med": 0.5913, "rv_med": 7.0921, "gap_med": 0.16, "be_med": 0.8345, "ratio_med": 0.9471, "ratio_p25": 0.7011, "ratio_p75": 1.0207, "n_breakout_attempt": 25, "fade_rate": 0.28 }, { "q": 5, "n": 26, "sig_lo": 350655370, "sig_hi": 75471062820, "sig_med": 2113975429, "range_med": 0.5567, "range_p25": 0.476, "range_p75": 0.8231, "absret_med": 0.3618, "eff_med": 0.4672, "rv_med": 7.1335, "gap_med": 0.1972, "be_med": 0.7816, "ratio_med": 0.7215, "ratio_p25": 0.559, "ratio_p75": 1.0751, "n_breakout_attempt": 22, "fade_rate": 0.3182 } ], "raw": { "range": { "rho": -0.2258, "n": 130, "p": 0.0096 }, "absret": { "rho": -0.1078, "n": 130, "p": 0.2224 }, "eff": { "rho": 0.0342, "n": 130, "p": 0.7002 } }, "controlled": { "ratio": { "rho": -0.0094, "n": 123, "p": 0.9182 }, "range_given_iv": { "rho": -0.0922, "n": 123, "p": 0.3132, "controls": 1 } } }, "SPXW": { "n": 108, "span": [ "2026-03-02", "2026-08-05" ], "quintiles": [ { "q": 1, "n": 22, "sig_lo": -40390091411, "sig_hi": -8374056703, "sig_med": -11894178382, "range_med": 1.0429, "range_p25": 0.8231, "range_p75": 1.4241, "absret_med": 0.7256, "eff_med": 0.6558, "rv_med": 11.126, "gap_med": 0.5804, "be_med": 0.9363, "ratio_med": 0.9857, "ratio_p25": 0.8274, "ratio_p75": 1.4692, "n_breakout_attempt": 20, "fade_rate": 0.2 }, { "q": 2, "n": 22, "sig_lo": -8354168550, "sig_hi": -2418530360, "sig_med": -4176296966.5, "range_med": 0.9748, "range_p25": 0.7107, "range_p75": 1.2734, "absret_med": 0.9299, "eff_med": 0.462, "rv_med": 10.8575, "gap_med": 0.523, "be_med": 1.0862, "ratio_med": 0.8358, "ratio_p25": 0.5588, "ratio_p75": 1.0132, "n_breakout_attempt": 18, "fade_rate": 0.5 }, { "q": 3, "n": 21, "sig_lo": -2134932607, "sig_hi": 6128727007, "sig_med": 2205513523, "range_med": 1.2137, "range_p25": 0.9022, "range_p75": 1.421, "absret_med": 0.6845, "eff_med": 0.3803, "rv_med": 10.6582, "gap_med": 0.3808, "be_med": 0.9303, "ratio_med": 0.9904, "ratio_p25": 0.9505, "ratio_p75": 1.4561, "n_breakout_attempt": 20, "fade_rate": 0.4 }, { "q": 4, "n": 22, "sig_lo": 6233375942, "sig_hi": 14493966623, "sig_med": 9574878911.5, "range_med": 0.78, "range_p25": 0.5543, "range_p75": 1.0502, "absret_med": 0.4728, "eff_med": 0.4029, "rv_med": 7.2948, "gap_med": 0.2532, "be_med": 0.7947, "ratio_med": 0.9864, "ratio_p25": 0.7397, "ratio_p75": 1.0928, "n_breakout_attempt": 22, "fade_rate": 0.3636 }, { "q": 5, "n": 21, "sig_lo": 15385450229, "sig_hi": 82632414986, "sig_med": 24577687365, "range_med": 0.7064, "range_p25": 0.5208, "range_p75": 0.867, "absret_med": 0.3862, "eff_med": 0.6305, "rv_med": 6.9817, "gap_med": 0.2268, "be_med": 0.7293, "ratio_med": 0.9617, "ratio_p25": 0.8374, "ratio_p75": 1.3755, "n_breakout_attempt": 20, "fade_rate": 0.25 } ], "raw": { "range": { "rho": -0.3514, "n": 108, "p": 0.0002 }, "absret": { "rho": -0.192, "n": 108, "p": 0.0463 }, "eff": { "rho": -0.0538, "n": 108, "p": 0.5812 } }, "controlled": { "ratio": { "rho": 0.111, "n": 68, "p": 0.369 }, "range_given_iv": { "rho": -0.1531, "n": 68, "p": 0.217, "controls": 1 } } }, "AAPL": { "n": 130, "span": [ "2026-03-02", "2026-09-04" ], "quintiles": [ { "q": 1, "n": 27, "sig_lo": -947161926, "sig_hi": -14500792, "sig_med": -86634947, "range_med": 2.1741, "range_p25": 1.7091, "range_p75": 2.8741, "absret_med": 1.0797, "eff_med": 0.4411, "rv_med": 21.6991, "gap_med": 0.5557, "be_med": 1.8265, "ratio_med": 1.2702, "ratio_p25": 0.9565, "ratio_p75": 1.6408, "n_breakout_attempt": 23, "fade_rate": 0.3478 }, { "q": 2, "n": 26, "sig_lo": -13775250, "sig_hi": 42418877, "sig_med": 13639762, "range_med": 1.7695, "range_p25": 1.5067, "range_p75": 2.5147, "absret_med": 0.8586, "eff_med": 0.3922, "rv_med": 18.3904, "gap_med": 0.4284, "be_med": 1.8482, "ratio_med": 0.9783, "ratio_p25": 0.6455, "ratio_p75": 1.3669, "n_breakout_attempt": 23, "fade_rate": 0.3478 }, { "q": 3, "n": 25, "sig_lo": 45243367, "sig_hi": 100188195, "sig_med": 72583363, "range_med": 2.1648, "range_p25": 1.8311, "range_p75": 2.9414, "absret_med": 0.8704, "eff_med": 0.4796, "rv_med": 20.0089, "gap_med": 0.279, "be_med": 1.7079, "ratio_med": 1.3298, "ratio_p25": 1.0747, "ratio_p75": 1.64, "n_breakout_attempt": 24, "fade_rate": 0.4583 }, { "q": 4, "n": 26, "sig_lo": 100419627, "sig_hi": 205628447, "sig_med": 136789773.5, "range_med": 2.1585, "range_p25": 1.7528, "range_p75": 2.5836, "absret_med": 1.0295, "eff_med": 0.5015, "rv_med": 19.0638, "gap_med": 0.4913, "be_med": 1.6795, "ratio_med": 1.2467, "ratio_p25": 1.0971, "ratio_p75": 1.5373, "n_breakout_attempt": 25, "fade_rate": 0.36 }, { "q": 5, "n": 26, "sig_lo": 206444337, "sig_hi": 3008492414, "sig_med": 509518728, "range_med": 1.7256, "range_p25": 1.3591, "range_p75": 2.4164, "absret_med": 0.7976, "eff_med": 0.4888, "rv_med": 19.465, "gap_med": 0.2586, "be_med": 1.5109, "ratio_med": 1.311, "ratio_p25": 1.0687, "ratio_p75": 1.7343, "n_breakout_attempt": 23, "fade_rate": 0.4348 } ], "raw": { "range": { "rho": -0.1161, "n": 130, "p": 0.1887 }, "absret": { "rho": -0.1624, "n": 130, "p": 0.0649 }, "eff": { "rho": 0.0862, "n": 130, "p": 0.3302 } }, "controlled": { "ratio": { "rho": 0.1255, "n": 130, "p": 0.1551 }, "range_given_iv": { "rho": -0.0226, "n": 130, "p": 0.7994, "controls": 1 } } }, "MSFT": { "n": 130, "span": [ "2026-03-02", "2026-09-04" ], "quintiles": [ { "q": 1, "n": 27, "sig_lo": -543358518, "sig_hi": -23255117, "sig_med": -66399258, "range_med": 2.275, "range_p25": 1.6655, "range_p75": 2.9402, "absret_med": 1.1855, "eff_med": 0.4617, "rv_med": 21.8105, "gap_med": 0.612, "be_med": 1.9311, "ratio_med": 1.1359, "ratio_p25": 0.8716, "ratio_p75": 1.5225, "n_breakout_attempt": 23, "fade_rate": 0.2174 }, { "q": 2, "n": 26, "sig_lo": -20333160, "sig_hi": 4823881, "sig_med": -7074377, "range_med": 2.175, "range_p25": 1.7872, "range_p75": 3.1747, "absret_med": 1.1984, "eff_med": 0.436, "rv_med": 21.5369, "gap_med": 0.6583, "be_med": 1.9542, "ratio_med": 1.1181, "ratio_p25": 0.9119, "ratio_p75": 1.4343, "n_breakout_attempt": 22, "fade_rate": 0.3182 }, { "q": 3, "n": 25, "sig_lo": 6390433, "sig_hi": 38671735, "sig_med": 15632652, "range_med": 2.9113, "range_p25": 2.0267, "range_p75": 3.6308, "absret_med": 1.4865, "eff_med": 0.5923, "rv_med": 22.3555, "gap_med": 0.9442, "be_med": 2.3943, "ratio_med": 1.1105, "ratio_p25": 0.825, "ratio_p75": 1.4352, "n_breakout_attempt": 24, "fade_rate": 0.2917 }, { "q": 4, "n": 26, "sig_lo": 38830004, "sig_hi": 137660405, "sig_med": 84946786, "range_med": 2.1342, "range_p25": 1.6221, "range_p75": 2.6476, "absret_med": 1.3105, "eff_med": 0.5016, "rv_med": 22.2238, "gap_med": 0.689, "be_med": 1.988, "ratio_med": 1.1145, "ratio_p25": 0.8319, "ratio_p75": 1.4046, "n_breakout_attempt": 24, "fade_rate": 0.4167 }, { "q": 5, "n": 26, "sig_lo": 138298733, "sig_hi": 962180178, "sig_med": 246380226, "range_med": 1.9588, "range_p25": 1.6815, "range_p75": 2.4295, "absret_med": 1.0464, "eff_med": 0.3785, "rv_med": 22.0941, "gap_med": 0.6768, "be_med": 1.8442, "ratio_med": 1.0965, "ratio_p25": 0.8125, "ratio_p75": 1.3661, "n_breakout_attempt": 23, "fade_rate": 0.4783 } ], "raw": { "range": { "rho": -0.124, "n": 130, "p": 0.1602 }, "absret": { "rho": -0.0754, "n": 130, "p": 0.3944 }, "eff": { "rho": -0.1087, "n": 130, "p": 0.2186 } }, "controlled": { "ratio": { "rho": -0.0812, "n": 130, "p": 0.359 }, "range_given_iv": { "rho": -0.1169, "n": 130, "p": 0.1873, "controls": 1 } } }, "NVDA": { "n": 130, "span": [ "2026-03-02", "2026-09-04" ], "quintiles": [ { "q": 1, "n": 27, "sig_lo": -11892454301, "sig_hi": -62679976, "sig_med": -197684434, "range_med": 2.8766, "range_p25": 2.1424, "range_p75": 3.5203, "absret_med": 1.5353, "eff_med": 0.3413, "rv_med": 30.1072, "gap_med": 0.7882, "be_med": 2.3086, "ratio_med": 1.1323, "ratio_p25": 0.9119, "ratio_p75": 1.5599, "n_breakout_attempt": 25, "fade_rate": 0.64 }, { "q": 2, "n": 26, "sig_lo": -62051346, "sig_hi": 15846121, "sig_med": -10281126.5, "range_med": 2.8614, "range_p25": 2.1692, "range_p75": 3.6917, "absret_med": 1.672, "eff_med": 0.5513, "rv_med": 27.8243, "gap_med": 0.914, "be_med": 2.9094, "ratio_med": 0.9216, "ratio_p25": 0.7131, "ratio_p75": 1.1981, "n_breakout_attempt": 21, "fade_rate": 0.2381 }, { "q": 3, "n": 25, "sig_lo": 17562355, "sig_hi": 100319347, "sig_med": 71891985, "range_med": 2.7633, "range_p25": 1.8928, "range_p75": 3.7199, "absret_med": 2.2421, "eff_med": 0.5724, "rv_med": 28.4915, "gap_med": 0.9466, "be_med": 2.5357, "ratio_med": 1.047, "ratio_p25": 0.7171, "ratio_p75": 1.4427, "n_breakout_attempt": 24, "fade_rate": 0.2083 }, { "q": 4, "n": 26, "sig_lo": 109848672, "sig_hi": 347975326, "sig_med": 189297607.5, "range_med": 3.0999, "range_p25": 2.4409, "range_p75": 3.6403, "absret_med": 1.6707, "eff_med": 0.5208, "rv_med": 27.2557, "gap_med": 0.6107, "be_med": 2.5109, "ratio_med": 1.2989, "ratio_p25": 0.9212, "ratio_p75": 1.6623, "n_breakout_attempt": 23, "fade_rate": 0.3478 }, { "q": 5, "n": 26, "sig_lo": 349469372, "sig_hi": 3957668215, "sig_med": 523483456.5, "range_med": 2.7411, "range_p25": 2.0573, "range_p75": 3.8316, "absret_med": 1.4617, "eff_med": 0.5344, "rv_med": 26.0044, "gap_med": 0.7805, "be_med": 2.1857, "ratio_med": 1.1897, "ratio_p25": 0.9137, "ratio_p75": 1.9489, "n_breakout_attempt": 22, "fade_rate": 0.2727 } ], "raw": { "range": { "rho": 0.0488, "n": 130, "p": 0.5822 }, "absret": { "rho": 0.0397, "n": 130, "p": 0.6544 }, "eff": { "rho": 0.1333, "n": 130, "p": 0.1307 } }, "controlled": { "ratio": { "rho": 0.1455, "n": 130, "p": 0.0986 }, "range_given_iv": { "rho": 0.0817, "n": 130, "p": 0.3582, "controls": 1 } } }, "TSLA": { "n": 130, "span": [ "2026-03-02", "2026-09-04" ], "quintiles": [ { "q": 1, "n": 27, "sig_lo": -859025101, "sig_hi": -48781029, "sig_med": -131573301, "range_med": 3.7188, "range_p25": 3.0887, "range_p75": 4.7318, "absret_med": 2.155, "eff_med": 0.5302, "rv_med": 32.3321, "gap_med": 1.072, "be_med": 3.008, "ratio_med": 1.179, "ratio_p25": 0.987, "ratio_p75": 1.9519, "n_breakout_attempt": 26, "fade_rate": 0.3462 }, { "q": 2, "n": 26, "sig_lo": -48097948, "sig_hi": -3005038, "sig_med": -19614041.5, "range_med": 3.2922, "range_p25": 2.2459, "range_p75": 4.5341, "absret_med": 2.1333, "eff_med": 0.5474, "rv_med": 35.2379, "gap_med": 0.9762, "be_med": 3.0273, "ratio_med": 1.0966, "ratio_p25": 0.8066, "ratio_p75": 1.5685, "n_breakout_attempt": 22, "fade_rate": 0.2727 }, { "q": 3, "n": 25, "sig_lo": -2924307, "sig_hi": 20973056, "sig_med": 7529625, "range_med": 2.9985, "range_p25": 2.5825, "range_p75": 4.1533, "absret_med": 1.9429, "eff_med": 0.3534, "rv_med": 33.0116, "gap_med": 0.9666, "be_med": 3.0503, "ratio_med": 0.9317, "ratio_p25": 0.8341, "ratio_p75": 1.2487, "n_breakout_attempt": 22, "fade_rate": 0.4091 }, { "q": 4, "n": 26, "sig_lo": 21563021, "sig_hi": 119742227, "sig_med": 58989461.5, "range_med": 3.3055, "range_p25": 2.7377, "range_p75": 4.4002, "absret_med": 1.6016, "eff_med": 0.3972, "rv_med": 33.8668, "gap_med": 0.6796, "be_med": 2.8061, "ratio_med": 1.0863, "ratio_p25": 0.8981, "ratio_p75": 1.7318, "n_breakout_attempt": 22, "fade_rate": 0.1818 }, { "q": 5, "n": 26, "sig_lo": 137538509, "sig_hi": 2273563748, "sig_med": 195019547.5, "range_med": 3.1645, "range_p25": 2.349, "range_p75": 3.619, "absret_med": 1.9133, "eff_med": 0.4606, "rv_med": 33.1491, "gap_med": 0.8702, "be_med": 2.8922, "ratio_med": 1.2027, "ratio_p25": 0.8297, "ratio_p75": 1.65, "n_breakout_attempt": 18, "fade_rate": 0.1667 } ], "raw": { "range": { "rho": -0.1111, "n": 130, "p": 0.2085 }, "absret": { "rho": 0.0056, "n": 130, "p": 0.9495 }, "eff": { "rho": -0.0802, "n": 130, "p": 0.3653 } }, "controlled": { "ratio": { "rho": 0.0023, "n": 130, "p": 0.9794 }, "range_given_iv": { "rho": -0.114, "n": 130, "p": 0.1987, "controls": 1 } } } }, "pooled": { "roots": [ "SPY", "QQQ", "IWM", "SPX", "AAPL", "MSFT", "NVDA", "TSLA" ], "n": 1040, "quintiles": [ { "q": 1, "n": 216, "sig_lo": -28913605733, "sig_hi": -14500792, "sig_med": -275068351, "range_med": 1.789, "range_p25": 1.0866, "range_p75": 2.9019, "absret_med": 1.0227, "eff_med": 0.4666, "rv_med": 19.303, "gap_med": 0.5873, "be_med": 1.6586, "ratio_med": 1.0689, "ratio_p25": 0.7764, "ratio_p75": 1.4645, "n_breakout_attempt": 191, "fade_rate": 0.3403 }, { "q": 2, "n": 208, "sig_lo": -1112124623, "sig_hi": 42418877, "sig_med": -41660851.5, "range_med": 1.7827, "range_p25": 1.2263, "range_p75": 2.5583, "absret_med": 1.0381, "eff_med": 0.4764, "rv_med": 18.6877, "gap_med": 0.611, "be_med": 1.781, "ratio_med": 0.9986, "ratio_p25": 0.7685, "ratio_p75": 1.2608, "n_breakout_attempt": 181, "fade_rate": 0.326 }, { "q": 3, "n": 200, "sig_lo": -165057665, "sig_hi": 738005385, "sig_med": 22588306.5, "range_med": 1.8633, "range_p25": 1.1572, "range_p75": 2.7909, "absret_med": 0.9858, "eff_med": 0.4382, "rv_med": 19.0977, "gap_med": 0.6103, "be_med": 1.7458, "ratio_med": 1.0392, "ratio_p25": 0.7762, "ratio_p75": 1.38, "n_breakout_attempt": 190, "fade_rate": 0.3474 }, { "q": 4, "n": 208, "sig_lo": 21563021, "sig_hi": 1825172694, "sig_med": 138741263.5, "range_med": 1.7143, "range_p25": 1.0059, "range_p75": 2.6476, "absret_med": 0.9034, "eff_med": 0.5092, "rv_med": 17.1742, "gap_med": 0.4189, "be_med": 1.5248, "ratio_med": 1.0934, "ratio_p25": 0.8803, "ratio_p75": 1.3825, "n_breakout_attempt": 191, "fade_rate": 0.2984 }, { "q": 5, "n": 208, "sig_lo": 137538509, "sig_hi": 75471062820, "sig_med": 683020234.5, "range_med": 1.5613, "range_p25": 0.9141, "range_p75": 2.362, "absret_med": 0.6916, "eff_med": 0.432, "rv_med": 16.8136, "gap_med": 0.4283, "be_med": 1.3807, "ratio_med": 1.0902, "ratio_p25": 0.8125, "ratio_p75": 1.4093, "n_breakout_attempt": 182, "fade_rate": 0.3681 } ], "raw": { "range": { "rho": -0.083, "n": 1033, "p": 0.0076 }, "eff": { "rho": -0.0162, "n": 1040, "p": 0.6028 } }, "controlled": { "ratio": { "rho": 0.0381, "n": 1033, "p": 0.2214 }, "range_given_iv": { "rho": 0.0342, "n": 1033, "p": 0.273, "controls": 1 } } }, "sign_split": { "short_gamma_negative": { "n": 434, "sig_lo": -28913605733, "sig_hi": -147134, "sig_med": -121879231.5, "range_med": 1.7236, "range_p25": 1.0468, "range_p75": 2.6667, "absret_med": 1.0041, "eff_med": 0.465, "rv_med": 18.1314, "gap_med": 0.6006, "be_med": 1.6497, "ratio_med": 1.0357, "ratio_p25": 0.7904, "ratio_p75": 1.3557, "n_breakout_attempt": 382, "fade_rate": 0.3429 }, "long_gamma_positive": { "n": 606, "sig_lo": 196829, "sig_hi": 75471062820, "sig_med": 161048282, "range_med": 1.7389, "range_p25": 1.0555, "range_p75": 2.6091, "absret_med": 0.8682, "eff_med": 0.4639, "rv_med": 18.3187, "gap_med": 0.4689, "be_med": 1.6304, "ratio_med": 1.0789, "ratio_p25": 0.8158, "ratio_p75": 1.4027, "n_breakout_attempt": 553, "fade_rate": 0.3309 } }, "direction": { "base_rate_up": 0.5298, "base_n": 1040, "base_note": "the share of next sessions that closed UP. ANY directional hit-rate has to beat THIS number, not 50%.", "signals": { "wall_asym": { "plain": "room to the call wall minus room to the put wall", "n": 1040, "spearman": { "rho": 0.0061, "n": 1040, "p": 0.844 }, "hit_rate": 0.4952, "hit_p_vs_50": 0.7802, "beats_base_rate": false }, "center_pull": { "plain": "where the gamma centre of mass sits versus spot", "n": 1040, "spearman": { "rho": 0.0032, "n": 1040, "p": 0.9178 }, "hit_rate": 0.4894, "hit_p_vs_50": 0.5149, "beats_base_rate": false }, "vex": { "plain": "net vanna exposure \u2014 the mechanical bid if volatility falls", "n": 1040, "spearman": { "rho": -0.048, "n": 1040, "p": 0.1217 }, "hit_rate": 0.4913, "hit_p_vs_50": 0.5981, "beats_base_rate": false }, "cex": { "plain": "net charm exposure \u2014 hedge drift from time passing", "n": 1040, "spearman": { "rho": 0.0774, "n": 1040, "p": 0.0125 }, "hit_rate": 0.5337, "hit_p_vs_50": 0.0324, "beats_base_rate": true } } }, "zdte": { "what": "0DTE share of the gamma that traded \u2014 how much of today's gamma dies today. High means today's dealer positioning is gone tomorrow unless it is rolled.", "raw": { "rho": 0.1531, "n": 903, "p": 0 }, "controlled": { "rho": 0.0533, "n": 903, "p": 0.1099, "controls": 3 }, "within_dow": { "rho": 0.0872, "n": 910, "p": 0.0085 }, "within_dow_cells": 35, "within_dow_what": "ranked inside each (root x weekday) cell, which removes the calendar effect completely rather than only its linear part", "per_root": { "SPY": { "raw": { "rho": 0.1232, "n": 130, "p": 0.163 }, "within_dow": { "rho": 0.0919, "n": 130, "p": 0.2989 } }, "QQQ": { "raw": { "rho": 0.1826, "n": 130, "p": 0.0374 }, "within_dow": { "rho": 0.0792, "n": 130, "p": 0.3712 } }, "IWM": { "raw": { "rho": 0.164, "n": 130, "p": 0.0622 }, "within_dow": { "rho": 0.1722, "n": 130, "p": 0.05 } }, "AAPL": { "raw": { "rho": 0.1902, "n": 130, "p": 0.03 }, "within_dow": { "rho": 0.0995, "n": 130, "p": 0.2606 } }, "MSFT": { "raw": { "rho": 0.1338, "n": 130, "p": 0.1292 }, "within_dow": { "rho": 0.0744, "n": 130, "p": 0.4012 } }, "NVDA": { "raw": { "rho": 0.1564, "n": 130, "p": 0.0756 }, "within_dow": { "rho": 0.0797, "n": 130, "p": 0.3679 } }, "TSLA": { "raw": { "rho": 0.0738, "n": 130, "p": 0.4049 }, "within_dow": { "rho": 0.012, "n": 130, "p": 0.8928 } } }, "controls": "implied vol at t, the previous session's own range-vs-breakeven ratio, and day of week \u2014 every vector ranked WITHIN its own root before pooling", "terciles": [ { "t": 1, "n": 338, "zdte_med": 0, "ratio_med": 0.9917, "range_med": 2.0521, "be_med": 2.0009 }, { "t": 2, "n": 271, "zdte_med": 0.8163, "ratio_med": 1.0747, "range_med": 1.7835, "be_med": 1.6556 }, { "t": 3, "n": 301, "zdte_med": 0.8768, "ratio_med": 1.1788, "range_med": 1.8903, "be_med": 1.5948 } ], "by_dow": { "Mon": { "n": 182, "zdte_med": 0.8557 }, "Tue": { "n": 189, "zdte_med": 0 }, "Wed": { "n": 189, "zdte_med": 0.8359 }, "Thu": { "n": 189, "zdte_med": 0 }, "Fri": { "n": 161, "zdte_med": 0.8533 } }, "note": "0DTE share is close to a DAY-OF-WEEK INDICATOR on these roots \u2014 see by_dow: it is near zero on weekdays with no same-day expiry and high on the ones that have one. So the raw association is substantially a calendar effect, and it is reported here with that stated rather than as a finding." }, "verdict": { "held": false, "headline": "NOT ESTABLISHED. Dealer gamma tracks the volatility regime, but it did not beat what the option market had already priced.", "detail": [ "RAW, the thesis looks right: the most negative-gamma quintile was followed by a 1.79% median range and the most positive by 1.56% (pooled rho -0.083, p=0.0076).", "CONTROLLED, it disappears. Measure the same range in units of what options charged for it (range / IV breakeven) and the relationship is rho 0.038, p=0.22 \u2014 nothing. Negative-gamma sessions ARE high-implied-vol sessions: median breakeven fell from 1.66% in the short-gamma quintile to 1.38% in the long-gamma quintile. Gamma was reading the thermometer, not adding to it.", "The BLAST-vs-SHARDS part specifically shows nothing: path efficiency (how much of the day's travel became net progress) against gamma is rho -0.016, p=0.60.", "The FAILED-BREAKOUT prediction runs the wrong way. Long dealer gamma is supposed to produce MORE failed breakouts; measured, long gamma faded 33.1% of breakout attempts and short gamma faded 34.3%.", "No directional signal beat the base rate: 53.0% of next sessions closed up, and not one of the four asymmetries did better." ], "what_survives": "The dealer-positioning MECHANICS are still a fact about the book \u2014 where gamma sits, which strikes force hedging, how fast it decays. Those are structural readings, not forecasts. What this test refuses to support is treating them as an independent edge over implied volatility.", "one_suggestive_result": "ONE reading did keep a signal after the calendar was removed, and it is the DECAY RATE rather than the level: the 0DTE share of gamma. Ranked inside each (root x weekday) cell \u2014 which removes the weekday effect completely, not just its linear part \u2014 a higher 0DTE share went with the next session realising MORE range than options had charged for: pooled rho 0.087 (n=910 across 35 cells), and POSITIVE on all 7 roots tested. It is called SUGGESTIVE and not established, for three reasons: only 0 of 7 roots reach significance on their own, the pooled p-value is overstated because the roots share market days, and the sample is five months of one year." }, "friday_artefact": { "by_signal_dow": { "Mon": { "n": 207, "ratio_med": 1.013 }, "Tue": { "n": 215, "ratio_med": 0.9689 }, "Wed": { "n": 215, "ratio_med": 1.0348 }, "Thu": { "n": 214, "ratio_med": 0.9464 }, "Fri": { "n": 182, "ratio_med": 1.462 } }, "note": "signal day -> next session. A Friday signal is scored against MONDAY, which carries three calendar days of risk while breakeven divides by sqrt(252) trading days. The page labels a Friday reading rather than silently comparing it." }, "walls": { "kinds": { "call": { "label": "call wall tested as RESISTANCE", "sessions_with_level": 820, "reached": 282, "reach_rate": 0.3439, "held": 111, "hold_rate": 0.3936, "placebo_hold_rate": 0.3896, "placebo_n": 462, "edge_pp": 0.4, "p_vs_placebo": 0.9384 }, "put": { "label": "put wall tested as SUPPORT", "sessions_with_level": 885, "reached": 195, "reach_rate": 0.2203, "held": 84, "hold_rate": 0.4308, "placebo_hold_rate": 0.4147, "placebo_n": 340, "edge_pp": 1.61, "p_vs_placebo": 0.7019 } }, "by_distance": { "<0.5%": { "call": { "reached": 163, "hold_rate": 0.3681 }, "put": { "reached": 115, "hold_rate": 0.3739 } }, "0.5-1%": { "call": { "reached": 41, "hold_rate": 0.3415 }, "put": { "reached": 35, "hold_rate": 0.4571 } }, "1-2%": { "call": { "reached": 47, "hold_rate": 0.4681 }, "put": { "reached": 30, "hold_rate": 0.5667 } }, ">2%": { "call": { "reached": 31, "hold_rate": 0.4839 }, "put": { "reached": 15, "hold_rate": 0.5333 } } }, "per_root": { "SPY": { "call": { "reached": 34, "hold_rate": 0.2647 }, "put": { "reached": 34, "hold_rate": 0.3529 } }, "QQQ": { "call": { "reached": 36, "hold_rate": 0.3056 }, "put": { "reached": 24, "hold_rate": 0.2917 } }, "IWM": { "call": { "reached": 36, "hold_rate": 0.4722 }, "put": { "reached": 25, "hold_rate": 0.48 } }, "SPX": { "call": { "reached": 16, "hold_rate": 0.4375 }, "put": { "reached": 11, "hold_rate": 0.1818 } }, "AAPL": { "call": { "reached": 47, "hold_rate": 0.4681 }, "put": { "reached": 15, "hold_rate": 0.6 } }, "MSFT": { "call": { "reached": 33, "hold_rate": 0.3636 }, "put": { "reached": 28, "hold_rate": 0.5357 } }, "NVDA": { "call": { "reached": 40, "hold_rate": 0.375 }, "put": { "reached": 28, "hold_rate": 0.4286 } }, "TSLA": { "call": { "reached": 40, "hold_rate": 0.45 }, "put": { "reached": 30, "hold_rate": 0.5 } } }, "method": { "reached": "the next session actually traded to the level. Every hold rate is CONDITIONAL on this \u2014 a wall price never approached is not evidence the wall worked.", "held": "reached the level and closed back on the original side of it.", "placebo": "the same test at a level placed the SAME DISTANCE from spot, with that distance drawn from a randomly chosen other session, so it carries no gamma meaning. This is the number a wall has to beat." }, "verdict": { "walls_beat_an_arbitrary_level": false, "headline": "MEASURED, THE WALLS DID NOT ACT AS SUPPORT OR RESISTANCE. When the tape actually reached the call wall it closed back below it only 39.4% of the time (n=282) \u2014 against 39.0% for a level placed the same distance away with no gamma in it at all (difference +0.4 points, p=0.94). The put wall held 43.1% of the 195 times price reached it, against a placebo of 41.5% (+1.6 points, p=0.70). Neither is distinguishable from an arbitrary level, and the call wall was BROKEN more often than it held.", "ranking_consequence": "So the ladder on the page CANNOT rank levels by a measured reliability, because no such reliability was found. It ranks them by raw concentration \u2014 how much of the book sits at that strike \u2014 and prints this null result beside the labels rather than implying a strength the data does not support.", "distance_note": "Nor did nearer walls hold better, which is the intuition worth killing explicitly: the closest bucket (<0.5%) held 36.8% for calls and 37.4% for puts, the >2% bucket 48.4% and 53.3%. If anything the relationship runs the other way, and that is most likely just mean reversion after a big move rather than anything the wall did." } } } }