Hedging demand and market intraday momentum

Guido Baltussen, Zhi Da, Sten Lammers, Martin Martens · 2021 · Journal of Financial Economics

IntermediateIntradayEmpiricalFree to read

Late-day index momentum is linked to gamma hedging: short-gamma hedgers amplify moves into the close. Relevant wherever index options dominate volume.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday
Data needed: Intraday bars Set what data you have
Themes: Factors & momentum Options & volatility
Assets: Index futures, Options
Market: Global

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Options and volatility for index-options traders

← Stock price clustering on option expiration dates

Cite

@article{baltussen2021hedging,
  author = {Baltussen, Guido and Da, Zhi and Lammers, Sten and Martens, Martin},
  title = {{Hedging demand and market intraday momentum}},
  journal = {Journal of Financial Economics},
  year = {2021},
  doi = {10.1016/j.jfineco.2021.04.029}
}

Baltussen, G., Da, Z., Lammers, S., & Martens, M. (2021). Hedging demand and market intraday momentum. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2021.04.029