Is gamma exposure a forecasting variable for SPX returns in short horizons?


  1. A coefficient of determination (R-squared) equal to zero suggests that 1-day changes in GEX, by themselves, do not explain variations in SPX returns around its mean.
  2. The coefficient of correlation (32%) shows there is a positive relationship between 1-day changes in GEX and next day changes in SPX, but it is weak and likely insignificant.