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ARTICLES · RESEARCH · NOTES

Research papers,
and the weekly read.

Two surfaces. Research Papers for the longer, evidence-based studies on dealer flow, opening-minute regime, and VEX/VHI day-type. Market Notes for short-form notes from the Substack notebook. Research and decision-support content only — never financial advice, never a trading signal.

Research Papers

2 papers
2026-05-25Reviewed

SPX M15 Day-Type · Net VEX Intensity at the Opening Minute

A descriptive study of large-expansion sessions, conditioned on net VEX intensity and VEX sign

Companion to the RUT note. SPX sessions show a LOW-vs-rest large-expansion gap post-09:45 (not a strict LOW > MID > HIGH monotonic) and a stable secondary tilt towards POSITIVE VEX sign. The note is observational and prior-only normalized. It is not a trading signal.

Prior-only normalized event rates; approximate Wilson intervals; coefficient signs in the appendix are conditional on controls and not the same estimand as the bucket gaps.

SPXVEXopening-minutedescriptive
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2026-05-25Reviewed

RUT M15 Day-Type · Net VEX Intensity at the Opening Minute

A descriptive study of large-expansion sessions, conditioned on net VEX intensity

We describe how RUT M15 large-expansion sessions distribute across LOW / MID / HIGH net VEX intensity buckets, split by opening-minute window (true pre-open, open-5m, post-open). The headline result is a post-open LOW > HIGH gap. The note is observational and prior-only normalized. It is not a trading signal.

Prior-only normalized event rates; approximate Wilson intervals; no joint inferential test across cohorts.

RUTVEXopening-minutedescriptive
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Market Notes

short-form

Educational research content. Not financial advice. Methods, data limitations, and interval construction are documented inside each paper. Past patterns are not predictions of future returns.