{ "signals": [ { "name": "Signal 1a: Net GEX (call+put sum)", "column": "sig1_net_gex", "description": "Positive = call-dominated GEX, negative = put-dominated", "ic_1h": { "morning": { "is": -0.0412, "is_n": 1067, "is_pval": 0.1791, "oos": 0.1011, "oos_n": 504, "oos_pval": 0.0232 }, "midday": { "is": 0.0736, "is_n": 1415, "is_pval": 0.0056, "oos": -0.0685, "oos_n": 664, "oos_pval": 0.0777 }, "afternoon": { "is": -0.0389, "is_n": 1856, "is_pval": 0.0939, "oos": -0.0254, "oos_n": 864, "oos_pval": 0.4553 } }, "ic_3h": { "morning": { "is": 0.0203, "is_n": 1055, "is_pval": 0.5103, "oos": 0.0955, "oos_n": 496, "oos_pval": 0.0335 }, "midday": { "is": 0.0009, "is_n": 1391, "is_pval": 0.9731, "oos": -0.0563, "oos_n": 648, "oos_pval": 0.1525 }, "afternoon": { "is": -0.0538, "is_n": 1184, "is_pval": 0.0641, "oos": -0.0526, "oos_n": 534, "oos_pval": 0.2249 } }, "ic_eod": { "morning": { "is": -0.0272, "is_n": 1043, "is_pval": 0.3801, "oos": 0.1795, "oos_n": 486, "oos_pval": 0.0001 }, "midday": { "is": 0.0297, "is_n": 1391, "is_pval": 0.2682, "oos": 0.0529, "oos_n": 648, "oos_pval": 0.1785 }, "afternoon": { "is": -0.0082, "is_n": 1856, "is_pval": 0.7249, "oos": 0.1182, "oos_n": 864, "oos_pval": 0.0005 } }, "quintile_spread_oos": -0.13, "hit_rate_q5_oos": 0.4914, "n_obs": 6370, "is_oos_consistent": false, "notes": "No signal. Aggregate call/put GEX imbalance does not predict intraday direction." }, { "name": "Signal 1b: Call/Put GEX Ratio", "column": "sig1_call_put_ratio", "description": "Ratio of positive GEX strikes to negative GEX strikes", "ic_1h": { "morning": { "is": -0.0178, "is_n": 1067, "is_pval": 0.5614, "oos": -0.0133, "oos_n": 504, "oos_pval": 0.7653 }, "midday": { "is": 0.0532, "is_n": 1415, "is_pval": 0.0452, "oos": -0.0189, "oos_n": 664, "oos_pval": 0.6265 }, "afternoon": { "is": -0.0166, "is_n": 1856, "is_pval": 0.4736, "oos": -0.0514, "oos_n": 864, "oos_pval": 0.1311 } }, "ic_3h": { "morning": { "is": 0.0376, "is_n": 1055, "is_pval": 0.2228, "oos": -0.0206, "oos_n": 496, "oos_pval": 0.6478 }, "midday": { "is": -0.0041, "is_n": 1391, "is_pval": 0.8778, "oos": -0.0736, "oos_n": 648, "oos_pval": 0.0613 }, "afternoon": { "is": -0.0187, "is_n": 1184, "is_pval": 0.52, "oos": -0.1449, "oos_n": 534, "oos_pval": 0.0008 } }, "ic_eod": { "morning": { "is": -0.0075, "is_n": 1043, "is_pval": 0.8099, "oos": -0.0673, "oos_n": 486, "oos_pval": 0.1383 }, "midday": { "is": 0.0277, "is_n": 1391, "is_pval": 0.3013, "oos": -0.0852, "oos_n": 648, "oos_pval": 0.0302 }, "afternoon": { "is": 0.0309, "is_n": 1856, "is_pval": 0.1839, "oos": -0.0679, "oos_n": 864, "oos_pval": 0.0461 } }, "quintile_spread_oos": -4.24, "hit_rate_q5_oos": 0.5086, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 2a: Neg GEX Cluster Direction", "column": "sig2_neg_cluster_direction", "description": "1 if largest neg GEX is above price, -1 if below", "ic_1h": { "morning": { "is": -0.1013, "is_n": 1067, "is_pval": 0.0009, "oos": -0.053, "oos_n": 504, "oos_pval": 0.2351 }, "midday": { "is": 0.0009, "is_n": 1415, "is_pval": 0.972, "oos": -0.0262, "oos_n": 664, "oos_pval": 0.501 }, "afternoon": { "is": -0.036, "is_n": 1856, "is_pval": 0.1213, "oos": -0.0907, "oos_n": 864, "oos_pval": 0.0076 } }, "ic_3h": { "morning": { "is": -0.0885, "is_n": 1055, "is_pval": 0.004, "oos": -0.0952, "oos_n": 496, "oos_pval": 0.0341 }, "midday": { "is": -0.1264, "is_n": 1391, "is_pval": 0.0, "oos": -0.1366, "oos_n": 648, "oos_pval": 0.0005 }, "afternoon": { "is": -0.0577, "is_n": 1184, "is_pval": 0.0472, "oos": -0.1069, "oos_n": 534, "oos_pval": 0.0134 } }, "ic_eod": { "morning": { "is": -0.1508, "is_n": 1043, "is_pval": 0.0, "oos": -0.0572, "oos_n": 486, "oos_pval": 0.2083 }, "midday": { "is": -0.1032, "is_n": 1391, "is_pval": 0.0001, "oos": -0.1619, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": -0.0311, "is_n": 1856, "is_pval": 0.1805, "oos": -0.1281, "oos_n": 864, "oos_pval": 0.0002 } }, "quintile_spread_oos": 0, "hit_rate_q5_oos": 0.5157, "n_obs": 6370, "is_oos_consistent": true, "notes": "Anti-magnet: neg GEX clusters are resistance/support, NOT attractors. Price moves AWAY from them." }, { "name": "Signal 2b: Neg GEX Cluster Distance", "column": "sig2_neg_cluster_distance", "description": "Signed distance from price to largest neg GEX cluster", "ic_1h": { "morning": { "is": -0.0375, "is_n": 1067, "is_pval": 0.2211, "oos": -0.0388, "oos_n": 504, "oos_pval": 0.3842 }, "midday": { "is": 0.0328, "is_n": 1415, "is_pval": 0.2176, "oos": 0.0834, "oos_n": 664, "oos_pval": 0.0316 }, "afternoon": { "is": -0.0293, "is_n": 1856, "is_pval": 0.2072, "oos": -0.0496, "oos_n": 864, "oos_pval": 0.1449 } }, "ic_3h": { "morning": { "is": -0.0516, "is_n": 1055, "is_pval": 0.0942, "oos": -0.0482, "oos_n": 496, "oos_pval": 0.2843 }, "midday": { "is": -0.072, "is_n": 1391, "is_pval": 0.0072, "oos": -0.0132, "oos_n": 648, "oos_pval": 0.7365 }, "afternoon": { "is": -0.0527, "is_n": 1184, "is_pval": 0.0701, "oos": -0.0983, "oos_n": 534, "oos_pval": 0.0231 } }, "ic_eod": { "morning": { "is": -0.0733, "is_n": 1043, "is_pval": 0.0179, "oos": -0.0833, "oos_n": 486, "oos_pval": 0.0666 }, "midday": { "is": -0.0274, "is_n": 1391, "is_pval": 0.3073, "oos": -0.082, "oos_n": 648, "oos_pval": 0.0369 }, "afternoon": { "is": 0.0016, "is_n": 1856, "is_pval": 0.9462, "oos": -0.1473, "oos_n": 864, "oos_pval": 0.0 } }, "quintile_spread_oos": -0.33, "hit_rate_q5_oos": 0.4742, "n_obs": 6370, "is_oos_consistent": true }, { "name": "Signal 3a: Smart Money Gamma (Firm+ProCust)", "column": "sig3_smart_gamma", "description": "Combined firm + pro-customer gamma at current spot", "ic_1h": { "morning": { "is": 0.0301, "is_n": 1067, "is_pval": 0.3253, "oos": -0.0128, "oos_n": 504, "oos_pval": 0.7747 }, "midday": { "is": -0.049, "is_n": 1415, "is_pval": 0.0655, "oos": -0.0666, "oos_n": 664, "oos_pval": 0.0862 }, "afternoon": { "is": 0.0663, "is_n": 1856, "is_pval": 0.0043, "oos": 0.0459, "oos_n": 864, "oos_pval": 0.1779 } }, "ic_3h": { "morning": { "is": -0.0521, "is_n": 1055, "is_pval": 0.0909, "oos": -0.0088, "oos_n": 496, "oos_pval": 0.845 }, "midday": { "is": -0.0182, "is_n": 1391, "is_pval": 0.4979, "oos": 0.0491, "oos_n": 648, "oos_pval": 0.2119 }, "afternoon": { "is": 0.1692, "is_n": 1184, "is_pval": 0.0, "oos": 0.0472, "oos_n": 534, "oos_pval": 0.2765 } }, "ic_eod": { "morning": { "is": 0.034, "is_n": 1043, "is_pval": 0.272, "oos": 0.0721, "oos_n": 486, "oos_pval": 0.1122 }, "midday": { "is": 0.0583, "is_n": 1391, "is_pval": 0.0296, "oos": 0.0997, "oos_n": 648, "oos_pval": 0.0111 }, "afternoon": { "is": 0.1616, "is_n": 1856, "is_pval": 0.0, "oos": 0.1402, "oos_n": 864, "oos_pval": 0.0 } }, "quintile_spread_oos": 0.19, "hit_rate_q5_oos": 0.4939, "n_obs": 6370, "is_oos_consistent": true, "notes": "Modest afternoon/EOD signal. Smart money gamma at spot has IC=0.14 OOS afternoon->EOD." }, { "name": "Signal 3b: Smart Money Delta (Firm+ProCust)", "column": "sig3_smart_delta", "description": "Combined firm + pro-customer delta at current spot", "ic_1h": { "morning": { "is": 0.0452, "is_n": 1067, "is_pval": 0.1399, "oos": 0.1309, "oos_n": 504, "oos_pval": 0.0032 }, "midday": { "is": 0.0214, "is_n": 1415, "is_pval": 0.4202, "oos": -0.0794, "oos_n": 664, "oos_pval": 0.0409 }, "afternoon": { "is": 0.0614, "is_n": 1856, "is_pval": 0.0082, "oos": 0.0627, "oos_n": 864, "oos_pval": 0.0653 } }, "ic_3h": { "morning": { "is": 0.0609, "is_n": 1055, "is_pval": 0.0481, "oos": 0.053, "oos_n": 496, "oos_pval": 0.2389 }, "midday": { "is": 0.0614, "is_n": 1391, "is_pval": 0.022, "oos": 0.0965, "oos_n": 648, "oos_pval": 0.014 }, "afternoon": { "is": 0.0689, "is_n": 1184, "is_pval": 0.0177, "oos": 0.0741, "oos_n": 534, "oos_pval": 0.0873 } }, "ic_eod": { "morning": { "is": 0.1012, "is_n": 1043, "is_pval": 0.0011, "oos": 0.1592, "oos_n": 486, "oos_pval": 0.0004 }, "midday": { "is": 0.0066, "is_n": 1391, "is_pval": 0.8068, "oos": 0.0988, "oos_n": 648, "oos_pval": 0.0119 }, "afternoon": { "is": -0.0175, "is_n": 1856, "is_pval": 0.4518, "oos": 0.0914, "oos_n": 864, "oos_pval": 0.0072 } }, "quintile_spread_oos": 5.02, "hit_rate_q5_oos": 0.5602, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 3c: Firm Gamma", "column": "sig3_firm_gamma", "description": "Prop firm gamma at current spot", "ic_1h": { "morning": { "is": 0.0124, "is_n": 1067, "is_pval": 0.6865, "oos": 0.0234, "oos_n": 504, "oos_pval": 0.6002 }, "midday": { "is": -0.0698, "is_n": 1415, "is_pval": 0.0086, "oos": -0.0703, "oos_n": 664, "oos_pval": 0.0704 }, "afternoon": { "is": 0.0618, "is_n": 1856, "is_pval": 0.0078, "oos": 0.0296, "oos_n": 864, "oos_pval": 0.3848 } }, "ic_3h": { "morning": { "is": -0.0769, "is_n": 1055, "is_pval": 0.0125, "oos": 0.0109, "oos_n": 496, "oos_pval": 0.8078 }, "midday": { "is": -0.0366, "is_n": 1391, "is_pval": 0.1723, "oos": 0.033, "oos_n": 648, "oos_pval": 0.4017 }, "afternoon": { "is": 0.1762, "is_n": 1184, "is_pval": 0.0, "oos": 0.0345, "oos_n": 534, "oos_pval": 0.4259 } }, "ic_eod": { "morning": { "is": 0.0131, "is_n": 1043, "is_pval": 0.6734, "oos": 0.0797, "oos_n": 486, "oos_pval": 0.0792 }, "midday": { "is": 0.0525, "is_n": 1391, "is_pval": 0.0503, "oos": 0.09, "oos_n": 648, "oos_pval": 0.0219 }, "afternoon": { "is": 0.1818, "is_n": 1856, "is_pval": 0.0, "oos": 0.1321, "oos_n": 864, "oos_pval": 0.0001 } }, "quintile_spread_oos": 0.08, "hit_rate_q5_oos": 0.4865, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 3d: ProCust Gamma", "column": "sig3_procust_gamma", "description": "Professional customer gamma at current spot", "ic_1h": { "morning": { "is": 0.0322, "is_n": 1067, "is_pval": 0.2932, "oos": -0.0607, "oos_n": 504, "oos_pval": 0.1734 }, "midday": { "is": -0.0482, "is_n": 1415, "is_pval": 0.0697, "oos": -0.0368, "oos_n": 664, "oos_pval": 0.3436 }, "afternoon": { "is": 0.0812, "is_n": 1856, "is_pval": 0.0005, "oos": 0.0547, "oos_n": 864, "oos_pval": 0.1083 } }, "ic_3h": { "morning": { "is": 0.0008, "is_n": 1055, "is_pval": 0.9788, "oos": -0.0534, "oos_n": 496, "oos_pval": 0.235 }, "midday": { "is": 0.0155, "is_n": 1391, "is_pval": 0.5626, "oos": 0.0536, "oos_n": 648, "oos_pval": 0.1731 }, "afternoon": { "is": 0.1412, "is_n": 1184, "is_pval": 0.0, "oos": 0.0618, "oos_n": 534, "oos_pval": 0.1537 } }, "ic_eod": { "morning": { "is": 0.0759, "is_n": 1043, "is_pval": 0.0142, "oos": 0.0638, "oos_n": 486, "oos_pval": 0.1603 }, "midday": { "is": 0.0506, "is_n": 1391, "is_pval": 0.059, "oos": 0.1096, "oos_n": 648, "oos_pval": 0.0052 }, "afternoon": { "is": 0.1546, "is_n": 1856, "is_pval": 0.0, "oos": 0.1411, "oos_n": 864, "oos_pval": 0.0 } }, "quintile_spread_oos": 1.26, "hit_rate_q5_oos": 0.4668, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 3e: Retail Customer Gamma", "column": "sig3_cust_gamma", "description": "Retail gamma at current spot (test as contrarian)", "ic_1h": { "morning": { "is": 0.04, "is_n": 1067, "is_pval": 0.1914, "oos": -0.0891, "oos_n": 504, "oos_pval": 0.0455 }, "midday": { "is": 0.0416, "is_n": 1415, "is_pval": 0.1178, "oos": -0.1134, "oos_n": 664, "oos_pval": 0.0034 }, "afternoon": { "is": -0.0865, "is_n": 1856, "is_pval": 0.0002, "oos": 0.1058, "oos_n": 864, "oos_pval": 0.0018 } }, "ic_3h": { "morning": { "is": 0.0649, "is_n": 1055, "is_pval": 0.035, "oos": -0.1985, "oos_n": 496, "oos_pval": 0.0 }, "midday": { "is": -0.0384, "is_n": 1391, "is_pval": 0.1521, "oos": -0.0026, "oos_n": 648, "oos_pval": 0.9471 }, "afternoon": { "is": -0.1207, "is_n": 1184, "is_pval": 0.0, "oos": 0.2158, "oos_n": 534, "oos_pval": 0.0 } }, "ic_eod": { "morning": { "is": -0.0545, "is_n": 1043, "is_pval": 0.0785, "oos": -0.1021, "oos_n": 486, "oos_pval": 0.0244 }, "midday": { "is": -0.1326, "is_n": 1391, "is_pval": 0.0, "oos": 0.063, "oos_n": 648, "oos_pval": 0.109 }, "afternoon": { "is": -0.1758, "is_n": 1856, "is_pval": 0.0, "oos": 0.1036, "oos_n": 864, "oos_pval": 0.0023 } }, "quintile_spread_oos": -0.62, "hit_rate_q5_oos": 0.5307, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 4a: MM Gamma at Spot", "column": "sig3_mm_gamma", "description": "Market maker gamma at current spot level", "ic_1h": { "morning": { "is": -0.0849, "is_n": 1067, "is_pval": 0.0055, "oos": 0.0118, "oos_n": 504, "oos_pval": 0.7919 }, "midday": { "is": 0.023, "is_n": 1415, "is_pval": 0.3881, "oos": 0.0988, "oos_n": 664, "oos_pval": 0.0109 }, "afternoon": { "is": -0.001, "is_n": 1856, "is_pval": 0.964, "oos": -0.0989, "oos_n": 864, "oos_pval": 0.0036 } }, "ic_3h": { "morning": { "is": -0.0267, "is_n": 1055, "is_pval": 0.3855, "oos": 0.0556, "oos_n": 496, "oos_pval": 0.2163 }, "midday": { "is": 0.0335, "is_n": 1391, "is_pval": 0.2121, "oos": -0.037, "oos_n": 648, "oos_pval": 0.3466 }, "afternoon": { "is": -0.0365, "is_n": 1184, "is_pval": 0.2101, "oos": -0.1617, "oos_n": 534, "oos_pval": 0.0002 } }, "ic_eod": { "morning": { "is": -0.061, "is_n": 1043, "is_pval": 0.0491, "oos": -0.0536, "oos_n": 486, "oos_pval": 0.2379 }, "midday": { "is": -0.0489, "is_n": 1391, "is_pval": 0.0683, "oos": -0.108, "oos_n": 648, "oos_pval": 0.0059 }, "afternoon": { "is": -0.0647, "is_n": 1856, "is_pval": 0.0053, "oos": -0.1726, "oos_n": 864, "oos_pval": 0.0 } }, "quintile_spread_oos": 0.84, "hit_rate_q5_oos": 0.5788, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 4b: Broker-Dealer Gamma at Spot", "column": "sig3_bd_gamma", "description": "BD gamma at current spot", "ic_1h": { "morning": { "is": 0.0176, "is_n": 1067, "is_pval": 0.5658, "oos": 0.1157, "oos_n": 504, "oos_pval": 0.0093 }, "midday": { "is": 0.0344, "is_n": 1415, "is_pval": 0.1963, "oos": -0.0601, "oos_n": 664, "oos_pval": 0.122 }, "afternoon": { "is": 0.0727, "is_n": 1856, "is_pval": 0.0017, "oos": -0.0929, "oos_n": 864, "oos_pval": 0.0063 } }, "ic_3h": { "morning": { "is": 0.0481, "is_n": 1055, "is_pval": 0.1186, "oos": 0.1269, "oos_n": 496, "oos_pval": 0.0046 }, "midday": { "is": 0.0647, "is_n": 1391, "is_pval": 0.0158, "oos": -0.0904, "oos_n": 648, "oos_pval": 0.0213 }, "afternoon": { "is": 0.0773, "is_n": 1184, "is_pval": 0.0078, "oos": -0.1913, "oos_n": 534, "oos_pval": 0.0 } }, "ic_eod": { "morning": { "is": 0.0762, "is_n": 1043, "is_pval": 0.0139, "oos": 0.047, "oos_n": 486, "oos_pval": 0.301 }, "midday": { "is": 0.1682, "is_n": 1391, "is_pval": 0.0, "oos": -0.2009, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": 0.2104, "is_n": 1856, "is_pval": 0.0, "oos": -0.1058, "oos_n": 864, "oos_pval": 0.0018 } }, "quintile_spread_oos": -1.88, "hit_rate_q5_oos": 0.4693, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 4c: MM Delta at Spot", "column": "sig3_mm_delta", "description": "Market maker delta at current spot", "ic_1h": { "morning": { "is": -0.1027, "is_n": 1067, "is_pval": 0.0008, "oos": -0.1089, "oos_n": 504, "oos_pval": 0.0145 }, "midday": { "is": -0.0778, "is_n": 1415, "is_pval": 0.0034, "oos": 0.0918, "oos_n": 664, "oos_pval": 0.018 }, "afternoon": { "is": -0.018, "is_n": 1856, "is_pval": 0.4395, "oos": -0.0786, "oos_n": 864, "oos_pval": 0.0208 } }, "ic_3h": { "morning": { "is": -0.1915, "is_n": 1055, "is_pval": 0.0, "oos": -0.0112, "oos_n": 496, "oos_pval": 0.8043 }, "midday": { "is": -0.0731, "is_n": 1391, "is_pval": 0.0064, "oos": -0.0737, "oos_n": 648, "oos_pval": 0.0608 }, "afternoon": { "is": 0.0044, "is_n": 1184, "is_pval": 0.88, "oos": -0.0829, "oos_n": 534, "oos_pval": 0.0555 } }, "ic_eod": { "morning": { "is": -0.2017, "is_n": 1043, "is_pval": 0.0, "oos": -0.0936, "oos_n": 486, "oos_pval": 0.0392 }, "midday": { "is": -0.0038, "is_n": 1391, "is_pval": 0.888, "oos": -0.058, "oos_n": 648, "oos_pval": 0.1401 }, "afternoon": { "is": 0.0755, "is_n": 1856, "is_pval": 0.0011, "oos": -0.0811, "oos_n": 864, "oos_pval": 0.0171 } }, "quintile_spread_oos": -2.76, "hit_rate_q5_oos": 0.5528, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 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"oos_pval": 0.0324 }, "afternoon": { "is": 0.1666, "is_n": 1856, "is_pval": 0.0, "oos": 0.0708, "oos_n": 864, "oos_pval": 0.0375 } }, "quintile_spread_oos": 2.56, "hit_rate_q5_oos": 0.5233, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 4e: ProCust Delta at Spot", "column": "sig3_procust_delta", "description": "Pro-customer delta at current spot", "ic_1h": { "morning": { "is": 0.01, "is_n": 1067, "is_pval": 0.745, "oos": 0.059, "oos_n": 504, "oos_pval": 0.1857 }, "midday": { "is": 0.0212, "is_n": 1415, "is_pval": 0.4257, "oos": -0.0103, "oos_n": 664, "oos_pval": 0.7915 }, "afternoon": { "is": -0.0216, "is_n": 1856, "is_pval": 0.3519, "oos": 0.0499, "oos_n": 864, "oos_pval": 0.1426 } }, "ic_3h": { "morning": { "is": 0.0328, "is_n": 1055, "is_pval": 0.2871, "oos": 0.0895, "oos_n": 496, "oos_pval": 0.0464 }, "midday": { "is": 0.0103, "is_n": 1391, "is_pval": 0.7022, "oos": 0.0637, "oos_n": 648, "oos_pval": 0.1051 }, "afternoon": { "is": -0.1228, "is_n": 1184, "is_pval": 0.0, "oos": 0.0378, "oos_n": 534, "oos_pval": 0.3833 } }, "ic_eod": { "morning": { "is": -0.0128, "is_n": 1043, "is_pval": 0.6795, "oos": 0.1596, "oos_n": 486, "oos_pval": 0.0004 }, "midday": { "is": -0.0803, "is_n": 1391, "is_pval": 0.0027, "oos": 0.0971, "oos_n": 648, "oos_pval": 0.0134 }, "afternoon": { "is": -0.1292, "is_n": 1856, "is_pval": 0.0, "oos": 0.1061, "oos_n": 864, "oos_pval": 0.0018 } }, "quintile_spread_oos": 3.35, "hit_rate_q5_oos": 0.5037, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 4f: Retail Customer Delta at Spot", "column": "sig3_cust_delta", "description": "Retail delta at current spot", "ic_1h": { "morning": { "is": 0.0709, "is_n": 1067, "is_pval": 0.0206, "oos": 0.0601, "oos_n": 504, "oos_pval": 0.1779 }, "midday": { "is": 0.0712, "is_n": 1415, "is_pval": 0.0074, "oos": -0.1007, "oos_n": 664, "oos_pval": 0.0094 }, "afternoon": { "is": -0.0503, "is_n": 1856, "is_pval": 0.0304, "oos": 0.0545, "oos_n": 864, "oos_pval": 0.1095 } }, "ic_3h": { "morning": { "is": 0.1518, "is_n": 1055, "is_pval": 0.0, "oos": -0.0602, "oos_n": 496, "oos_pval": 0.1808 }, "midday": { "is": 0.0517, "is_n": 1391, "is_pval": 0.0541, "oos": 0.0199, "oos_n": 648, "oos_pval": 0.6123 }, "afternoon": { "is": -0.0691, "is_n": 1184, "is_pval": 0.0174, "oos": 0.0535, "oos_n": 534, "oos_pval": 0.217 } }, "ic_eod": { "morning": { "is": 0.139, "is_n": 1043, "is_pval": 0.0, "oos": -0.0149, "oos_n": 486, "oos_pval": 0.7435 }, "midday": { "is": 0.0289, "is_n": 1391, "is_pval": 0.281, "oos": 0.0098, "oos_n": 648, "oos_pval": 0.8037 }, "afternoon": { "is": -0.0735, "is_n": 1856, "is_pval": 0.0015, "oos": 0.0397, "oos_n": 864, "oos_pval": 0.2439 } }, "quintile_spread_oos": 2.53, "hit_rate_q5_oos": 0.5356, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 4g: BD Delta at Spot", "column": "sig3_bd_delta", "description": "Broker-dealer delta at current spot", "ic_1h": { "morning": { "is": 0.0302, "is_n": 1067, "is_pval": 0.3243, "oos": 0.0305, "oos_n": 504, "oos_pval": 0.4939 }, "midday": { "is": 0.0328, "is_n": 1415, "is_pval": 0.217, "oos": -0.0883, "oos_n": 664, "oos_pval": 0.0229 }, "afternoon": { "is": 0.0124, "is_n": 1856, "is_pval": 0.5937, "oos": 0.0277, "oos_n": 864, "oos_pval": 0.4166 } }, "ic_3h": { "morning": { "is": 0.0678, "is_n": 1055, "is_pval": 0.0276, "oos": -0.0805, "oos_n": 496, "oos_pval": 0.0733 }, "midday": { "is": 0.0513, "is_n": 1391, "is_pval": 0.0559, "oos": -0.0447, "oos_n": 648, "oos_pval": 0.2563 }, "afternoon": { "is": 0.1244, "is_n": 1184, "is_pval": 0.0, "oos": 0.0619, "oos_n": 534, "oos_pval": 0.1533 } }, "ic_eod": { "morning": { "is": 0.1128, "is_n": 1043, "is_pval": 0.0003, "oos": 0.0425, "oos_n": 486, "oos_pval": 0.3497 }, "midday": { "is": 0.0833, "is_n": 1391, "is_pval": 0.0019, "oos": 0.0431, "oos_n": 648, "oos_pval": 0.273 }, "afternoon": { "is": 0.0416, "is_n": 1856, "is_pval": 0.0731, "oos": 0.0675, "oos_n": 864, "oos_pval": 0.0472 } }, "quintile_spread_oos": 0.12, "hit_rate_q5_oos": 0.4693, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 4h: Firm Gamma 30m Change", "column": "sig3_firm_gamma_chg", "description": "30-min change in firm gamma at spot", "ic_1h": { "morning": { "is": -0.0678, "is_n": 353, "is_pval": 0.2036, "oos": -0.1292, "oos_n": 168, "oos_pval": 0.0952 }, "midday": { "is": -0.0565, "is_n": 1415, "is_pval": 0.0337, "oos": -0.0195, "oos_n": 664, "oos_pval": 0.6165 }, "afternoon": { "is": 0.0168, "is_n": 1856, "is_pval": 0.4682, "oos": -0.0129, "oos_n": 864, "oos_pval": 0.7055 } }, "ic_3h": { "morning": { "is": -0.0442, "is_n": 347, "is_pval": 0.4113, "oos": -0.2415, "oos_n": 162, "oos_pval": 0.002 }, "midday": { "is": -0.0448, "is_n": 1391, "is_pval": 0.0946, "oos": 0.006, "oos_n": 648, "oos_pval": 0.8787 }, "afternoon": { "is": 0.0441, "is_n": 1184, "is_pval": 0.1293, "oos": -0.0464, "oos_n": 534, "oos_pval": 0.2842 } }, "ic_eod": { "morning": { "is": -0.0076, "is_n": 347, "is_pval": 0.8876, "oos": -0.133, "oos_n": 162, "oos_pval": 0.0916 }, "midday": { "is": -0.0383, "is_n": 1391, "is_pval": 0.1529, "oos": 0.0631, "oos_n": 648, "oos_pval": 0.1086 }, "afternoon": { "is": -0.0244, "is_n": 1856, "is_pval": 0.2939, "oos": -0.074, "oos_n": 864, "oos_pval": 0.0297 } }, "quintile_spread_oos": -4.23, "hit_rate_q5_oos": 0.4956, "n_obs": 5320, "is_oos_consistent": false }, { "name": "Signal 4i: ProCust Gamma 30m Change", "column": "sig3_procust_gamma_chg", "description": "30-min change in procust gamma", "ic_1h": { "morning": { "is": -0.0347, "is_n": 353, "is_pval": 0.5155, "oos": 0.0034, "oos_n": 168, "oos_pval": 0.9654 }, "midday": { "is": -0.0214, "is_n": 1415, "is_pval": 0.4212, "oos": -0.0745, "oos_n": 664, "oos_pval": 0.0551 }, "afternoon": { "is": 0.0383, "is_n": 1856, "is_pval": 0.0994, "oos": 0.0294, "oos_n": 864, "oos_pval": 0.3876 } }, "ic_3h": { "morning": { "is": -0.0956, "is_n": 347, "is_pval": 0.0753, "oos": 0.0599, "oos_n": 162, "oos_pval": 0.449 }, "midday": { "is": -0.0163, "is_n": 1391, "is_pval": 0.5437, "oos": 0.0305, "oos_n": 648, "oos_pval": 0.4387 }, "afternoon": { "is": 0.1074, "is_n": 1184, "is_pval": 0.0002, "oos": 0.0412, "oos_n": 534, "oos_pval": 0.3418 } }, "ic_eod": { "morning": { "is": 0.01, "is_n": 347, "is_pval": 0.8524, "oos": 0.1147, "oos_n": 162, "oos_pval": 0.1462 }, "midday": { "is": 0.0015, "is_n": 1391, "is_pval": 0.9542, "oos": 0.0769, "oos_n": 648, "oos_pval": 0.0504 }, "afternoon": { "is": 0.1206, "is_n": 1856, "is_pval": 0.0, "oos": 0.0985, "oos_n": 864, "oos_pval": 0.0038 } }, "quintile_spread_oos": 0.38, "hit_rate_q5_oos": 0.528, "n_obs": 5320, "is_oos_consistent": false }, { "name": "Signal 4j: MM Gamma 30m Change", "column": "sig3_mm_gamma_chg", "description": "30-min change in MM gamma at spot", "ic_1h": { "morning": { "is": -0.1458, "is_n": 353, "is_pval": 0.0061, "oos": 0.1433, "oos_n": 168, "oos_pval": 0.0638 }, "midday": { "is": 0.0284, "is_n": 1415, "is_pval": 0.285, "oos": 0.0266, "oos_n": 664, "oos_pval": 0.4941 }, "afternoon": { "is": 0.041, "is_n": 1856, "is_pval": 0.0771, "oos": 0.0325, "oos_n": 864, "oos_pval": 0.3405 } }, "ic_3h": { "morning": { "is": -0.0849, "is_n": 347, "is_pval": 0.1145, "oos": 0.2094, "oos_n": 162, "oos_pval": 0.0075 }, "midday": { "is": 0.069, "is_n": 1391, "is_pval": 0.01, "oos": -0.0766, "oos_n": 648, "oos_pval": 0.0512 }, "afternoon": { "is": 0.0973, "is_n": 1184, "is_pval": 0.0008, "oos": 0.0342, "oos_n": 534, "oos_pval": 0.4305 } }, "ic_eod": { "morning": { "is": -0.102, "is_n": 347, "is_pval": 0.0576, "oos": 0.0326, "oos_n": 162, "oos_pval": 0.6808 }, "midday": { "is": 0.029, "is_n": 1391, "is_pval": 0.2799, "oos": -0.1436, "oos_n": 648, "oos_pval": 0.0002 }, "afternoon": { "is": 0.0401, "is_n": 1856, "is_pval": 0.0843, "oos": 0.0695, "oos_n": 864, "oos_pval": 0.0411 } }, "quintile_spread_oos": 3.85, "hit_rate_q5_oos": 0.5651, "n_obs": 5320, "is_oos_consistent": false }, { "name": "Signal 4k: Retail Gamma 30m Change", "column": "sig3_cust_gamma_chg", "description": "30-min change in retail gamma", "ic_1h": { "morning": { "is": 0.1459, "is_n": 353, "is_pval": 0.006, "oos": -0.1291, "oos_n": 168, "oos_pval": 0.0953 }, "midday": { "is": -0.0328, "is_n": 1415, "is_pval": 0.2177, "oos": 0.0148, "oos_n": 664, "oos_pval": 0.7033 }, "afternoon": { "is": -0.0977, "is_n": 1856, "is_pval": 0.0, "oos": -0.0187, "oos_n": 864, "oos_pval": 0.5839 } }, "ic_3h": { "morning": { "is": 0.1353, "is_n": 347, "is_pval": 0.0117, "oos": -0.1729, "oos_n": 162, "oos_pval": 0.0278 }, "midday": { "is": -0.1019, "is_n": 1391, "is_pval": 0.0001, "oos": 0.0692, "oos_n": 648, "oos_pval": 0.0783 }, "afternoon": { "is": -0.167, "is_n": 1184, "is_pval": 0.0, "oos": -0.0478, "oos_n": 534, "oos_pval": 0.27 } }, "ic_eod": { "morning": { "is": 0.1079, "is_n": 347, "is_pval": 0.0446, "oos": -0.0076, "oos_n": 162, "oos_pval": 0.9239 }, "midday": { "is": -0.0875, "is_n": 1391, "is_pval": 0.0011, "oos": 0.1426, "oos_n": 648, "oos_pval": 0.0003 }, "afternoon": { "is": -0.0929, "is_n": 1856, "is_pval": 0.0001, "oos": -0.0518, "oos_n": 864, "oos_pval": 0.1283 } }, "quintile_spread_oos": -1.76, "hit_rate_q5_oos": 0.5251, "n_obs": 5320, "is_oos_consistent": false }, { "name": "Signal 5a: MM Gamma Asymmetry", "column": "sig5_mm_gamma_asym", "description": "MM gamma above vs below spot. Positive = more gamma above", "ic_1h": { "morning": { "is": 0.1541, "is_n": 1067, "is_pval": 0.0, "oos": 0.0476, "oos_n": 504, "oos_pval": 0.2865 }, "midday": { "is": 0.0126, "is_n": 1415, "is_pval": 0.6362, "oos": -0.073, "oos_n": 664, "oos_pval": 0.06 }, "afternoon": { "is": 0.0632, "is_n": 1856, "is_pval": 0.0065, "oos": 0.0321, "oos_n": 864, "oos_pval": 0.3458 } }, "ic_3h": { "morning": { "is": 0.1552, "is_n": 1055, "is_pval": 0.0, "oos": -0.0186, "oos_n": 496, "oos_pval": 0.6802 }, "midday": { "is": 0.0567, "is_n": 1391, "is_pval": 0.0344, "oos": -0.0222, "oos_n": 648, "oos_pval": 0.5735 }, "afternoon": { "is": 0.1236, "is_n": 1184, "is_pval": 0.0, "oos": 0.0187, "oos_n": 534, "oos_pval": 0.6663 } }, "ic_eod": { "morning": { "is": 0.2245, "is_n": 1043, "is_pval": 0.0, "oos": 0.0369, "oos_n": 486, "oos_pval": 0.4167 }, "midday": { "is": 0.0438, "is_n": 1391, "is_pval": 0.1027, "oos": 0.003, "oos_n": 648, "oos_pval": 0.9395 }, "afternoon": { "is": 0.0329, "is_n": 1856, "is_pval": 0.1562, "oos": 0.1122, "oos_n": 864, "oos_pval": 0.001 } }, "quintile_spread_oos": 1.81, "hit_rate_q5_oos": 0.5356, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 5b: Firm Gamma Asymmetry", "column": "sig5_firm_gamma_asym", "description": "Firm gamma above vs below spot", "ic_1h": { "morning": { "is": -0.1156, "is_n": 1067, "is_pval": 0.0002, "oos": -0.1542, "oos_n": 504, "oos_pval": 0.0005 }, "midday": { "is": -0.0496, "is_n": 1415, "is_pval": 0.0622, "oos": -0.078, "oos_n": 664, "oos_pval": 0.0446 }, "afternoon": { "is": -0.05, "is_n": 1856, "is_pval": 0.0311, "oos": -0.0933, "oos_n": 864, "oos_pval": 0.0061 } }, "ic_3h": { "morning": { "is": -0.1493, "is_n": 1055, "is_pval": 0.0, "oos": -0.1961, "oos_n": 496, "oos_pval": 0.0 }, "midday": { "is": -0.0732, "is_n": 1391, "is_pval": 0.0063, "oos": -0.1611, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": -0.0935, "is_n": 1184, "is_pval": 0.0013, "oos": -0.0807, "oos_n": 534, "oos_pval": 0.0624 } }, "ic_eod": { "morning": { "is": -0.1916, "is_n": 1043, "is_pval": 0.0, "oos": -0.2762, "oos_n": 486, "oos_pval": 0.0 }, "midday": { "is": -0.0257, "is_n": 1391, "is_pval": 0.3381, "oos": -0.2114, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": 0.0327, "is_n": 1856, "is_pval": 0.1596, "oos": -0.1717, "oos_n": 864, "oos_pval": 0.0 } }, "quintile_spread_oos": -4.22, "hit_rate_q5_oos": 0.5209, "n_obs": 6370, "is_oos_consistent": false, "notes": "STRONG EOD SIGNAL. Firm gamma above spot = bearish. EOD IC=-0.28 OOS from morning. Props selling calls above market = informed." }, { "name": "Signal 5c: ProCust Gamma Asymmetry", "column": "sig5_procust_gamma_asym", "description": "ProCust gamma above vs below spot", "ic_1h": { "morning": { "is": -0.0202, "is_n": 1067, "is_pval": 0.5105, "oos": 0.0004, "oos_n": 504, "oos_pval": 0.9928 }, "midday": { "is": 0.0457, "is_n": 1415, "is_pval": 0.0854, "oos": -0.0056, "oos_n": 664, "oos_pval": 0.8854 }, "afternoon": { "is": -0.0329, "is_n": 1856, "is_pval": 0.1566, "oos": -0.1923, "oos_n": 864, "oos_pval": 0.0 } }, "ic_3h": { "morning": { "is": 0.0385, "is_n": 1055, "is_pval": 0.2119, "oos": -0.0193, "oos_n": 496, "oos_pval": 0.6678 }, "midday": { "is": 0.0316, "is_n": 1391, "is_pval": 0.2383, "oos": -0.0699, "oos_n": 648, "oos_pval": 0.0754 }, "afternoon": { "is": -0.0175, "is_n": 1184, "is_pval": 0.5478, "oos": -0.261, "oos_n": 534, "oos_pval": 0.0 } }, "ic_eod": { "morning": { "is": 0.0564, "is_n": 1043, "is_pval": 0.0685, "oos": -0.0053, "oos_n": 486, "oos_pval": 0.9064 }, "midday": { "is": -0.0075, "is_n": 1391, "is_pval": 0.7796, "oos": -0.1325, "oos_n": 648, "oos_pval": 0.0007 }, "afternoon": { "is": -0.0256, "is_n": 1856, "is_pval": 0.2707, "oos": -0.2554, "oos_n": 864, "oos_pval": 0.0 } }, "quintile_spread_oos": -6.53, "hit_rate_q5_oos": 0.457, "n_obs": 6370, "is_oos_consistent": false, "notes": "Strong afternoon signal. ProCust gamma above spot = bearish. 3H afternoon IC=-0.26 OOS." }, { "name": "Signal 5d: Retail Gamma Asymmetry", "column": "sig5_cust_gamma_asym", "description": "Retail gamma above vs below spot", "ic_1h": { "morning": { "is": -0.1153, "is_n": 1067, "is_pval": 0.0002, "oos": -0.0032, "oos_n": 504, "oos_pval": 0.9428 }, "midday": { "is": -0.0184, "is_n": 1415, "is_pval": 0.489, "oos": 0.0885, "oos_n": 664, "oos_pval": 0.0226 }, "afternoon": { "is": 0.0138, "is_n": 1856, "is_pval": 0.5515, "oos": 0.1326, "oos_n": 864, "oos_pval": 0.0001 } }, "ic_3h": { "morning": { "is": -0.1288, "is_n": 1055, "is_pval": 0.0, "oos": 0.0468, "oos_n": 496, "oos_pval": 0.2986 }, "midday": { "is": -0.0189, "is_n": 1391, "is_pval": 0.4807, "oos": 0.0692, "oos_n": 648, "oos_pval": 0.0783 }, "afternoon": { "is": -0.058, "is_n": 1184, "is_pval": 0.046, "oos": 0.17, "oos_n": 534, "oos_pval": 0.0001 } }, "ic_eod": { "morning": { "is": -0.1734, "is_n": 1043, "is_pval": 0.0, "oos": 0.0638, "oos_n": 486, "oos_pval": 0.1604 }, "midday": { "is": 0.0044, "is_n": 1391, "is_pval": 0.8701, "oos": 0.0904, "oos_n": 648, "oos_pval": 0.0214 }, "afternoon": { "is": 0.02, "is_n": 1856, "is_pval": 0.3894, "oos": 0.1045, "oos_n": 864, "oos_pval": 0.0021 } }, "quintile_spread_oos": 3.24, "hit_rate_q5_oos": 0.5725, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 5e: BD Gamma Asymmetry", "column": "sig5_bd_gamma_asym", "description": "BD gamma above vs below spot", "ic_1h": { "morning": { "is": -0.1015, "is_n": 1067, "is_pval": 0.0009, "oos": 0.0723, "oos_n": 504, "oos_pval": 0.1051 }, "midday": { "is": -0.0115, "is_n": 1415, "is_pval": 0.6652, "oos": -0.0769, "oos_n": 664, "oos_pval": 0.0475 }, "afternoon": { "is": 0.0079, "is_n": 1856, "is_pval": 0.7326, "oos": -0.1421, "oos_n": 864, "oos_pval": 0.0 } }, "ic_3h": { "morning": { "is": -0.107, "is_n": 1055, "is_pval": 0.0005, "oos": 0.0329, "oos_n": 496, "oos_pval": 0.4651 }, "midday": { "is": -0.0066, "is_n": 1391, "is_pval": 0.8045, "oos": -0.1829, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": -0.0423, "is_n": 1184, "is_pval": 0.1459, "oos": -0.2291, "oos_n": 534, "oos_pval": 0.0 } }, "ic_eod": { "morning": { "is": -0.1082, "is_n": 1043, "is_pval": 0.0005, "oos": -0.0739, "oos_n": 486, "oos_pval": 0.1037 }, "midday": { "is": -0.0206, "is_n": 1391, "is_pval": 0.4424, "oos": -0.1968, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": -0.0119, "is_n": 1856, "is_pval": 0.6071, "oos": -0.1428, "oos_n": 864, "oos_pval": 0.0 } }, "quintile_spread_oos": -2.65, "hit_rate_q5_oos": 0.4496, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 6a: 0DTE MM Gamma Ratio", "column": "sig6_0dte_ratio", "description": "0DTE share of total MM gamma", "ic_1h": { "morning": { "is": 0.1014, "is_n": 1067, "is_pval": 0.0009, "oos": 0.1519, "oos_n": 504, "oos_pval": 0.0006 }, "midday": { "is": 0.0466, "is_n": 1415, "is_pval": 0.0797, "oos": 0.0938, "oos_n": 664, "oos_pval": 0.0156 }, "afternoon": { "is": -0.0362, "is_n": 1856, "is_pval": 0.1192, "oos": -0.0387, "oos_n": 864, "oos_pval": 0.2558 } }, "ic_3h": { "morning": { "is": 0.1601, "is_n": 1055, "is_pval": 0.0, "oos": 0.1322, "oos_n": 496, "oos_pval": 0.0032 }, "midday": { "is": 0.0888, "is_n": 1391, "is_pval": 0.0009, "oos": 0.1689, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": -0.031, "is_n": 1184, "is_pval": 0.2866, "oos": -0.0324, "oos_n": 534, "oos_pval": 0.4544 } }, "ic_eod": { "morning": { "is": 0.2225, "is_n": 1043, "is_pval": 0.0, "oos": 0.1091, "oos_n": 486, "oos_pval": 0.0161 }, "midday": { "is": 0.0854, "is_n": 1391, "is_pval": 0.0014, "oos": 0.0905, "oos_n": 648, "oos_pval": 0.0212 }, "afternoon": { "is": -0.0581, "is_n": 1856, "is_pval": 0.0123, "oos": -0.0078, "oos_n": 864, "oos_pval": 0.8186 } }, "quintile_spread_oos": 1.92, "hit_rate_q5_oos": 0.4816, "n_obs": 6370, "is_oos_consistent": true, "notes": "Morning/midday signal. Higher 0DTE share of MM gamma = bullish. IC=0.15 morning, 0.17 midday (3H). Dies in afternoon." }, { "name": "Signal 6b: 0DTE vs Non-0DTE Divergence", "column": "sig6_0dte_divergence", "description": "0DTE gamma minus non-0DTE gamma", "ic_1h": { "morning": { "is": 0.0857, "is_n": 1067, "is_pval": 0.0051, "oos": 0.1939, "oos_n": 504, "oos_pval": 0.0 }, "midday": { "is": 0.0231, "is_n": 1415, "is_pval": 0.3857, "oos": -0.0157, "oos_n": 664, "oos_pval": 0.6865 }, "afternoon": { "is": 0.0726, "is_n": 1856, "is_pval": 0.0018, "oos": 0.0342, "oos_n": 864, "oos_pval": 0.3153 } }, "ic_3h": { "morning": { "is": 0.1094, "is_n": 1055, "is_pval": 0.0004, "oos": 0.2001, "oos_n": 496, "oos_pval": 0.0 }, "midday": { "is": 0.0947, "is_n": 1391, "is_pval": 0.0004, "oos": 0.0589, "oos_n": 648, "oos_pval": 0.134 }, "afternoon": { "is": 0.1389, "is_n": 1184, "is_pval": 0.0, "oos": -0.0068, "oos_n": 534, "oos_pval": 0.8747 } }, "ic_eod": { "morning": { "is": 0.1736, "is_n": 1043, "is_pval": 0.0, "oos": 0.1899, "oos_n": 486, "oos_pval": 0.0 }, "midday": { "is": 0.1512, "is_n": 1391, "is_pval": 0.0, "oos": 0.0446, "oos_n": 648, "oos_pval": 0.2573 }, "afternoon": { "is": 0.103, "is_n": 1856, "is_pval": 0.0, "oos": 0.0544, "oos_n": 864, "oos_pval": 0.1102 } }, "quintile_spread_oos": 6.61, "hit_rate_q5_oos": 0.5528, "n_obs": 6370, "is_oos_consistent": true, "notes": "BEST SIGNAL. When 0DTE gamma > non-0DTE gamma, lean bullish. IC=0.19-0.20 OOS in morning. 6.6bps quintile spread." }, { "name": "Signal 6c: 0DTE Magnet Direction", "column": "sig6_0dte_magnet_dir", "description": "Direction to largest 0DTE gamma concentration", "ic_1h": { "morning": { "is": 0.0263, "is_n": 1067, "is_pval": 0.3912, "oos": -0.0226, "oos_n": 504, "oos_pval": 0.6135 }, "midday": { "is": -0.0277, "is_n": 1415, "is_pval": 0.2974, "oos": -0.0375, "oos_n": 664, "oos_pval": 0.3341 }, "afternoon": { "is": 0.0134, "is_n": 1856, "is_pval": 0.563, "oos": -0.1162, "oos_n": 864, "oos_pval": 0.0006 } }, "ic_3h": { "morning": { "is": 0.0108, "is_n": 1055, "is_pval": 0.7254, "oos": -0.0671, "oos_n": 496, "oos_pval": 0.1358 }, "midday": { "is": -0.0214, "is_n": 1391, "is_pval": 0.4262, "oos": -0.0051, "oos_n": 648, "oos_pval": 0.8973 }, "afternoon": { "is": -0.0404, "is_n": 1184, "is_pval": 0.1643, "oos": -0.103, "oos_n": 534, "oos_pval": 0.0173 } }, "ic_eod": { "morning": { "is": -0.063, "is_n": 1043, "is_pval": 0.0421, "oos": -0.0624, "oos_n": 486, "oos_pval": 0.1695 }, "midday": { "is": -0.0659, "is_n": 1391, "is_pval": 0.014, "oos": -0.0933, "oos_n": 648, "oos_pval": 0.0175 }, "afternoon": { "is": -0.0881, "is_n": 1856, "is_pval": 0.0001, "oos": -0.1108, "oos_n": 864, "oos_pval": 0.0011 } }, "quintile_spread_oos": 0, "hit_rate_q5_oos": 0.5157, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 6d: 0DTE Magnet Distance", "column": "sig6_0dte_magnet_dist", "description": "Signed distance to largest 0DTE gamma strike", "ic_1h": { "morning": { "is": 0.0143, "is_n": 1067, "is_pval": 0.642, "oos": -0.0692, "oos_n": 504, "oos_pval": 0.1208 }, "midday": { "is": -0.0568, "is_n": 1415, "is_pval": 0.0327, "oos": 0.0532, "oos_n": 664, "oos_pval": 0.1708 }, "afternoon": { "is": -0.0233, "is_n": 1856, "is_pval": 0.3161, "oos": -0.0908, "oos_n": 864, "oos_pval": 0.0076 } }, "ic_3h": { "morning": { "is": -0.0293, "is_n": 1055, "is_pval": 0.3414, "oos": -0.0718, "oos_n": 496, "oos_pval": 0.1105 }, "midday": { "is": -0.0304, "is_n": 1391, "is_pval": 0.2567, "oos": 0.111, "oos_n": 648, "oos_pval": 0.0047 }, "afternoon": { "is": -0.0125, "is_n": 1184, "is_pval": 0.6664, "oos": -0.0365, "oos_n": 534, "oos_pval": 0.3993 } }, "ic_eod": { "morning": { "is": -0.0718, "is_n": 1043, "is_pval": 0.0203, "oos": -0.0835, "oos_n": 486, "oos_pval": 0.0659 }, "midday": { "is": -0.0265, "is_n": 1391, "is_pval": 0.3237, "oos": 0.1204, "oos_n": 648, "oos_pval": 0.0021 }, "afternoon": { "is": -0.0895, "is_n": 1856, "is_pval": 0.0001, "oos": -0.0053, "oos_n": 864, "oos_pval": 0.8775 } }, "quintile_spread_oos": -2.66, "hit_rate_q5_oos": 0.4631, "n_obs": 6370, "is_oos_consistent": false }, { "name": "Signal 7a: Smart Money Delta Flow", "column": "sig7_smart_delta_chg", "description": "30-min change in firm+procust delta", "ic_1h": { "morning": { "is": -0.0362, "is_n": 353, "is_pval": 0.4973, "oos": -0.0048, "oos_n": 168, "oos_pval": 0.9503 }, "midday": { "is": -0.0322, "is_n": 1415, "is_pval": 0.2256, "oos": -0.0023, "oos_n": 664, "oos_pval": 0.9531 }, "afternoon": { "is": 0.0249, "is_n": 1856, "is_pval": 0.2833, "oos": 0.0405, "oos_n": 864, "oos_pval": 0.2339 } }, "ic_3h": { "morning": { "is": 0.0361, "is_n": 347, "is_pval": 0.5024, "oos": -0.0438, "oos_n": 162, "oos_pval": 0.5804 }, "midday": { "is": -0.0513, "is_n": 1391, "is_pval": 0.0557, "oos": 0.0988, "oos_n": 648, "oos_pval": 0.0119 }, "afternoon": { "is": 0.063, "is_n": 1184, "is_pval": 0.0303, "oos": -0.0041, "oos_n": 534, "oos_pval": 0.9255 } }, "ic_eod": { "morning": { "is": 0.0744, "is_n": 347, "is_pval": 0.1668, "oos": 0.0504, "oos_n": 162, "oos_pval": 0.5244 }, "midday": { "is": -0.0086, "is_n": 1391, "is_pval": 0.7478, "oos": 0.1609, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": 0.0173, "is_n": 1856, "is_pval": 0.4564, "oos": -0.0083, "oos_n": 864, "oos_pval": 0.8069 } }, "quintile_spread_oos": 1.89, "hit_rate_q5_oos": 0.5398, "n_obs": 5320, "is_oos_consistent": false }, { "name": "Signal 7b: Retail Delta Flow", "column": "sig7_cust_delta_chg", "description": "30-min change in retail delta", "ic_1h": { "morning": { "is": -0.0254, "is_n": 353, "is_pval": 0.6346, "oos": -0.1074, "oos_n": 168, "oos_pval": 0.1658 }, "midday": { "is": -0.0937, "is_n": 1415, "is_pval": 0.0004, "oos": -0.0398, "oos_n": 664, "oos_pval": 0.3055 }, "afternoon": { "is": -0.0822, "is_n": 1856, "is_pval": 0.0004, "oos": 0.0509, "oos_n": 864, "oos_pval": 0.1352 } }, "ic_3h": { "morning": { "is": 0.0441, "is_n": 347, "is_pval": 0.4127, "oos": -0.1611, "oos_n": 162, "oos_pval": 0.0405 }, "midday": { "is": -0.1654, "is_n": 1391, "is_pval": 0.0, "oos": 0.0656, "oos_n": 648, "oos_pval": 0.0954 }, "afternoon": { "is": -0.059, "is_n": 1184, "is_pval": 0.0425, "oos": 0.0292, "oos_n": 534, "oos_pval": 0.5004 } }, "ic_eod": { "morning": { "is": 0.046, "is_n": 347, "is_pval": 0.3933, "oos": -0.0793, "oos_n": 162, "oos_pval": 0.316 }, "midday": { "is": -0.1495, "is_n": 1391, "is_pval": 0.0, "oos": 0.0877, "oos_n": 648, "oos_pval": 0.0256 }, "afternoon": { "is": -0.0736, "is_n": 1856, "is_pval": 0.0015, "oos": 0.0257, "oos_n": 864, "oos_pval": 0.4499 } }, "quintile_spread_oos": -0.85, "hit_rate_q5_oos": 0.4822, "n_obs": 5320, "is_oos_consistent": false }, { "name": "Signal 7c: Firm Delta Flow", "column": "sig7_firm_delta_chg", "description": "30-min change in firm delta", "ic_1h": { "morning": { "is": -0.0832, "is_n": 353, "is_pval": 0.1186, "oos": -0.0149, "oos_n": 168, "oos_pval": 0.8484 }, "midday": { "is": -0.0572, "is_n": 1415, "is_pval": 0.0315, "oos": 0.0078, "oos_n": 664, "oos_pval": 0.8407 }, "afternoon": { "is": 0.0141, "is_n": 1856, "is_pval": 0.5445, "oos": 0.0328, "oos_n": 864, "oos_pval": 0.3349 } }, "ic_3h": { "morning": { "is": -0.0073, "is_n": 347, "is_pval": 0.8915, "oos": -0.0788, "oos_n": 162, "oos_pval": 0.3187 }, "midday": { "is": -0.0792, "is_n": 1391, "is_pval": 0.0031, "oos": 0.1051, "oos_n": 648, "oos_pval": 0.0074 }, "afternoon": { "is": 0.0575, "is_n": 1184, "is_pval": 0.0478, "oos": -0.0141, "oos_n": 534, "oos_pval": 0.7454 } }, "ic_eod": { "morning": { "is": 0.0308, "is_n": 347, "is_pval": 0.5676, "oos": 0.0019, "oos_n": 162, "oos_pval": 0.9812 }, "midday": { "is": -0.0402, "is_n": 1391, "is_pval": 0.1336, "oos": 0.1596, "oos_n": 648, "oos_pval": 0.0 }, "afternoon": { "is": 0.0039, "is_n": 1856, "is_pval": 0.868, "oos": -0.0277, "oos_n": 864, "oos_pval": 0.4156 } }, "quintile_spread_oos": 1.73, "hit_rate_q5_oos": 0.5516, "n_obs": 5320, "is_oos_consistent": false }, { "name": "Signal 7d: ProCust Delta Flow", "column": "sig7_procust_delta_chg", "description": "30-min change in procust delta", "ic_1h": { "morning": { "is": 0.1094, "is_n": 353, "is_pval": 0.0399, "oos": -0.0157, "oos_n": 168, "oos_pval": 0.8403 }, "midday": { "is": 0.0373, "is_n": 1415, "is_pval": 0.1611, "oos": -0.0224, "oos_n": 664, "oos_pval": 0.5638 }, "afternoon": { "is": 0.0232, "is_n": 1856, "is_pval": 0.3181, "oos": 0.0129, "oos_n": 864, "oos_pval": 0.7056 } }, "ic_3h": { "morning": { "is": 0.0828, "is_n": 347, "is_pval": 0.1235, "oos": 0.1593, "oos_n": 162, "oos_pval": 0.0429 }, "midday": { "is": 0.1187, "is_n": 1391, "is_pval": 0.0, "oos": -0.0012, "oos_n": 648, "oos_pval": 0.9767 }, "afternoon": { "is": 0.055, "is_n": 1184, "is_pval": 0.0585, "oos": -0.0191, "oos_n": 534, "oos_pval": 0.659 } }, "ic_eod": { "morning": { "is": 0.1212, "is_n": 347, "is_pval": 0.024, "oos": 0.2225, "oos_n": 162, "oos_pval": 0.0044 }, "midday": { "is": 0.1291, "is_n": 1391, "is_pval": 0.0, "oos": 0.0912, "oos_n": 648, "oos_pval": 0.0203 }, "afternoon": { "is": 0.0493, "is_n": 1856, "is_pval": 0.0336, "oos": -0.0108, "oos_n": 864, "oos_pval": 0.751 } }, "quintile_spread_oos": 1.56, "hit_rate_q5_oos": 0.5398, "n_obs": 5320, "is_oos_consistent": false } ], "participant_ranking": { "1h": [ { "participant": "cust", "abs_ic": 0.0403 }, { "participant": "bd", "abs_ic": 0.0328 }, { "participant": "procust", "abs_ic": 0.026 }, { "participant": "mm", "abs_ic": 0.0237 }, { "participant": "firm", "abs_ic": 0.0212 } ], "3h": [ { "participant": "procust", "abs_ic": 0.0581 }, { "participant": "firm", "abs_ic": 0.0579 }, { "participant": "mm", "abs_ic": 0.054 }, { "participant": "bd", "abs_ic": 0.0515 }, { "participant": "cust", "abs_ic": 0.0187 } ], "eod": [ { "participant": "procust", "abs_ic": 0.1167 }, { "participant": "mm", "abs_ic": 0.1132 }, { "participant": "firm", "abs_ic": 0.1026 }, { "participant": "bd", "abs_ic": 0.0992 }, { "participant": "cust", "abs_ic": 0.0264 } ] }, "summary": "Of 33 signals tested across 7 categories, the key findings are:\n\nWHAT WORKS:\n1. 0DTE vs Non-0DTE gamma divergence \u2014 BEST signal. OOS IC up to 0.20, 6.6bps Q-spread. When 0DTE gamma exceeds non-0DTE, lean bullish. Strongest in morning.\n2. Firm gamma asymmetry \u2014 EOD IC of -0.28 OOS (!). When firms have gamma concentrated above spot, price falls into close.\n3. 0DTE MM gamma ratio \u2014 similar to #1, morning/midday only.\n4. Negative GEX clusters are WALLS not magnets \u2014 price moves AWAY from largest neg GEX.\n5. ProCust delta flow in morning predicts EOD direction (IC=0.22).\n\nWHAT DOESN'T WORK:\n- Call/put GEX imbalance (no signal)\n- Smart money delta levels (inconsistent)\n- MM gamma at spot (noise)\n- Most delta flow measures (weak)\n\nPARTICIPANT RANKING (EOD prediction):\n1. ProCust (hedge funds) \u2014 IC=0.117\n2. MM (market makers) \u2014 IC=0.113\n3. Firm (prop desks) \u2014 IC=0.103\n4. BD (broker-dealers) \u2014 IC=0.099\n5. Cust (retail) \u2014 IC=0.026 (noise)\n\nThe signal is in gamma ASYMMETRY (where positioning sits relative to spot), not in raw levels.", "metadata": { "n_days": 177, "n_observations": 6370, "is_days": 120, "oos_days": 60, "date_range": "2025-06-26 to 2026-03-04" } }