{ "meta": { "symbols": [ "TSLA", "PLTR", "ARM", "MSTR", "COIN", "SOFI", "CRWD", "AMD", "SMCI", "AAPL" ], "total_obs": 2215, "is_cutoff": "2025-10-22", "is_n": 1360, "oos_n": 855, "fomc_excluded": 57, "data_start": "2025-04-02", "data_end": "2026-03-09", "gamma_location_note": "Strike-level data NOT available. Proxies used: near_atm_frac (atm_oi/total_oi), otm_frac=1-near_atm_frac, pc_ratio_z (put-call imbalance z-score), gamma_per_oi. Cannot compute: distance-weighted strike clusters, exact above/below spot concentration, gamma flip levels, pinning strikes." }, "per_symbol": { "TSLA": { "gamma_positive__ret_open_close": { "n": 29, "mean": -0.01136, "median": -0.01009, "std": 0.02434, "tstat": -2.514, "pval": 0.018, "label": "TSLA:gamma=positive" }, "gamma_positive__abs_move": { "n": 29, "mean": 0.02018, "median": 0.0162, "std": 0.01744, "tstat": 6.233, "pval": 0.0, "label": "TSLA:gamma=positive" }, "gamma_positive__continuation_30": { "n": 29, "mean": 0.41379, "median": 0.0, "std": 0.50123, "tstat": 4.446, "pval": 0.0001, "label": "TSLA:gamma=positive" }, "gamma_negative__ret_open_close": { "n": 107, "mean": 0.0056, "median": 0.00307, "std": 0.02512, "tstat": 2.307, "pval": 0.023, "label": "TSLA:gamma=negative" }, "gamma_negative__abs_move": { "n": 107, "mean": 0.01973, "median": 0.01723, "std": 0.01642, "tstat": 12.43, "pval": 0.0, "label": "TSLA:gamma=negative" }, "gamma_negative__continuation_30": { "n": 106, "mean": 0.54717, "median": 1.0, "std": 0.50013, "tstat": 11.264, "pval": 0.0, "label": "TSLA:gamma=negative" }, "pos_gamma+strong_open_up__ret_open_close": { "n": 10, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "TSLA:pos_gamma+strong_open_up" }, "pos_gamma+strong_open_up__continuation_30": { "n": 10, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "TSLA:pos_gamma+strong_open_up" }, "pos_gamma+strong_open_down__ret_open_close": { "n": 9, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "TSLA:pos_gamma+strong_open_down" }, "pos_gamma+strong_open_down__continuation_30": { "n": 9, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "TSLA:pos_gamma+strong_open_down" }, "neg_gamma+strong_open_up__ret_open_close": { "n": 35, "mean": 0.00789, "median": 0.00681, "std": 0.02296, "tstat": 2.033, "pval": 0.05, "label": "TSLA:neg_gamma+strong_open_up" }, "neg_gamma+strong_open_up__continuation_30": { "n": 35, "mean": 0.65714, "median": 1.0, "std": 0.48159, "tstat": 8.073, "pval": 0.0, "label": "TSLA:neg_gamma+strong_open_up" }, "neg_gamma+strong_open_down__ret_open_close": { "n": 36, "mean": 0.00252, "median": -0.0009, "std": 0.02822, "tstat": 0.535, "pval": 0.596, "label": "TSLA:neg_gamma+strong_open_down" }, "neg_gamma+strong_open_down__continuation_30": { "n": 36, "mean": 0.47222, "median": 0.0, "std": 0.50631, "tstat": 5.596, "pval": 0.0, "label": "TSLA:neg_gamma+strong_open_down" }, "neg_gamma+gap_down__ret_open_close": { "n": 21, "mean": 0.00801, "median": 0.00681, "std": 0.02931, "tstat": 1.252, "pval": 0.2248, "label": "TSLA:neg_gamma+gap_down" }, "neg_gamma+gap_down__continuation_30": { "n": 20, "mean": 0.5, "median": 0.5, "std": 0.51299, "tstat": 4.359, "pval": 0.0003, "label": "TSLA:neg_gamma+gap_down" }, "neg_gamma+gap_up__ret_open_close": { "n": 54, "mean": 0.00369, "median": 0.00114, "std": 0.02442, "tstat": 1.11, "pval": 0.2721, "label": "TSLA:neg_gamma+gap_up" }, "neg_gamma+gap_up__continuation_30": { "n": 54, "mean": 0.51852, "median": 1.0, "std": 0.50435, "tstat": 7.555, "pval": 0.0, "label": "TSLA:neg_gamma+gap_up" }, "pos_gamma+gap_up__ret_open_close": { "n": 10, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "TSLA:pos_gamma+gap_up" }, "pos_gamma+gap_up__continuation_30": { "n": 10, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "TSLA:pos_gamma+gap_up" }, "pos_gamma+gap_down__ret_open_close": { "n": 11, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "TSLA:pos_gamma+gap_down" }, "pos_gamma+gap_down__continuation_30": { "n": 11, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "TSLA:pos_gamma+gap_down" }, "hi_atm+lo_rvol__ret_open_close": { "n": 37, "mean": -0.00434, "median": -0.00404, "std": 0.01384, "tstat": -1.906, "pval": 0.0647, "label": "TSLA:hi_atm+lo_rvol" }, "hi_atm+lo_rvol__continuation_30": { "n": 36, "mean": 0.58333, "median": 1.0, "std": 0.5, "tstat": 7.0, "pval": 0.0, "label": "TSLA:hi_atm+lo_rvol" }, "hi_atm+hi_rvol__ret_open_close": { "n": 31, "mean": 0.0131, "median": 0.02041, "std": 0.02465, "tstat": 2.959, "pval": 0.006, "label": "TSLA:hi_atm+hi_rvol" }, "hi_atm+hi_rvol__continuation_30": { "n": 31, "mean": 0.48387, "median": 0.0, "std": 0.508, "tstat": 5.303, "pval": 0.0, "label": "TSLA:hi_atm+hi_rvol" } }, "PLTR": { "gamma_positive__ret_open_close": { "n": 15, "mean": -0.01825, "median": -0.03508, "std": 0.04924, "tstat": -1.436, "pval": 0.1731, "label": "PLTR:gamma=positive" }, "gamma_positive__abs_move": { "n": 15, "mean": 0.04187, "median": 0.04238, "std": 0.03007, "tstat": 5.393, "pval": 0.0001, "label": "PLTR:gamma=positive" }, "gamma_positive__continuation_30": { "n": 14, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "PLTR:gamma=positive" }, "gamma_negative__ret_open_close": { "n": 121, "mean": 0.00614, "median": 0.00281, "std": 0.02176, "tstat": 3.101, "pval": 0.0024, "label": "PLTR:gamma=negative" }, "gamma_negative__abs_move": { "n": 121, "mean": 0.01702, "median": 0.01356, "std": 0.01482, "tstat": 12.638, "pval": 0.0, "label": "PLTR:gamma=negative" }, "gamma_negative__continuation_30": { "n": 121, "mean": 0.4876, "median": 0.0, "std": 0.50192, "tstat": 10.686, "pval": 0.0, "label": "PLTR:gamma=negative" }, "pos_gamma+strong_open_up__ret_open_close": { "n": 4, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "PLTR:pos_gamma+strong_open_up" }, "pos_gamma+strong_open_up__continuation_30": { "n": 4, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "PLTR:pos_gamma+strong_open_up" }, "pos_gamma+strong_open_down__ret_open_close": { "n": 6, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "PLTR:pos_gamma+strong_open_down" }, "pos_gamma+strong_open_down__continuation_30": { "n": 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"PLTR:neg_gamma+gap_down" }, "neg_gamma+gap_down__continuation_30": { "n": 31, "mean": 0.45161, "median": 0.0, "std": 0.50588, "tstat": 4.971, "pval": 0.0, "label": "PLTR:neg_gamma+gap_down" }, "neg_gamma+gap_up__ret_open_close": { "n": 43, "mean": 0.00494, "median": 0.00508, "std": 0.02235, "tstat": 1.45, "pval": 0.1545, "label": "PLTR:neg_gamma+gap_up" }, "neg_gamma+gap_up__continuation_30": { "n": 43, "mean": 0.53488, "median": 1.0, "std": 0.50468, "tstat": 6.95, "pval": 0.0, "label": "PLTR:neg_gamma+gap_up" }, "pos_gamma+gap_up__ret_open_close": { "n": 4, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "PLTR:pos_gamma+gap_up" }, "pos_gamma+gap_up__continuation_30": { "n": 4, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "PLTR:pos_gamma+gap_up" }, "pos_gamma+gap_down__ret_open_close": { "n": 5, "mean": null, "median": null, "std": null, "tstat": null, "pval": null, "label": "PLTR:pos_gamma+gap_down" }, 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