Research

The first five minutes of a session, measured against the twelve-period exponential moving average, carries enough information about the rest of the day to trade on. Ten years of QQQ sessions, one bet a day, flat before the close. The same frozen rule was then run across 95 instruments in every asset class the data reaches. The direction call beats a permutation null at p = 0.0005, so the effect is a property of markets rather than of one ticker — but charge each instrument its own measured spread and only 26 of 85 stay positive. The signal is broad; the economics are narrow. QQQ is the one instrument carried through the full protocol, and the one published.

• Opening range
• 12-period EMA
• Intraday
• 95-instrument breadth
• Permutation null

Where dealer gamma sits determines how a tape behaves once it moves. The work maps exposure across zero-day expiries and long-dated LEAPS, and asks where positioning pins a market, where it stops pinning it, and what that is worth to a directional trade.

• 0DTE positioning
• LEAPS
• Dealer hedging flow
• Strike walls

Cash-secured puts rolled into covered calls is an old strategy that is rarely measured honestly. This study runs the wheel against S&P 500 total return over the same window and asks whether the premium collected survives the assignments it causes.

• Cash-secured puts
• Covered calls
• S&P 500 benchmark
• Assignment risk

Beauty and fashion names trade on a seasonal cycle of sentiment, not only of sales. The paper isolates that seasonality and the emotional adjustment around it, and tests whether the resulting volatility pattern is tradeable on a swing horizon. It is the firm's own framing and its first original premium.

• Seasonal volatility
• Sentiment cycle
• Beauty & fashion
• Swing horizon

Index options are usually priced for more movement than the index goes on to deliver, and the difference belongs to whoever sells them. The paper sells that difference once a month with the direction hedged out, pays full trading costs throughout, and measures ten years of it — quiet markets, 2020 and 2022 alike. It holds up on the index itself, and not on the individual companies inside it.

• Variance risk premium
• Delta-hedged straddle
• 120 monthly cycles
• VIX-gated entry
• Index vs. constituents

An open line of work on relative-value relationships and the measures that tell you when one has genuinely broken rather than merely widened. Nothing here is finished, and it is listed as unfinished.

• Relative value
• Dispersion
• Pair selection
• Open work