{"title":"Hedging Demand and Market Intraday Momentum","authors":"","doi":"10.2139/ssrn.3760365","DOIUrl":null,"url":null,"abstract":"Hedging short gamma exposure requires trading in the direction of price movements, \nthereby creating price momentum. Using intraday returns on over 60 futures on equities, \nbonds, commodities, and currencies between 1974 and 2020, we document strong “market \nintraday momentum” everywhere. The return during the last 30 minutes before the market \nclose is positively predicted by the return during the rest of the day (from previous market \nclose to the last 30 minutes). The predictive power is economically and statistically highly \nsignificant, and reverts over the next days. We provide novel evidence that links market \nintraday momentum to the gamma hedging demand from market participants such as market \nmakers of options and leveraged ETFs.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"11","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3760365","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 11
Abstract
Hedging short gamma exposure requires trading in the direction of price movements,
thereby creating price momentum. Using intraday returns on over 60 futures on equities,
bonds, commodities, and currencies between 1974 and 2020, we document strong “market
intraday momentum” everywhere. The return during the last 30 minutes before the market
close is positively predicted by the return during the rest of the day (from previous market
close to the last 30 minutes). The predictive power is economically and statistically highly
significant, and reverts over the next days. We provide novel evidence that links market
intraday momentum to the gamma hedging demand from market participants such as market
makers of options and leveraged ETFs.