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

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