“In ‘Hedging Demand and Market Intraday Momentum,’ Zhi Da, University of Notre Dame; Sten Lammers, Erasmus University Rotterdam; Martin Martens, Erasmus University Rotterdam, and I set out to explore these and other questions. We hypothesized that if the market contains a lot of short gamma exposure, intraday momentum with market makers hedging in the close would be present as a result. And, if the market is not short gamma, then there would not be a need for market makers to hedge in the close, and hence no market day momentum would be apparent.”

Using OptionMetrics’ data, Traders Magazine’s featured article, “Do Markets Burst in The Same Direction in the Last Half Hour of Trading?,” identifies factors behind wild market swings of the Covid-19 recession. Read the full article below.