Do prices bounce off gamma walls, or break through them?
Tests two popular ideas about gamma walls (price levels where options hedging tends to slow the market): that price bounces off them, and that it speeds up once it breaks through. Over 730 trading days of rebuilt options data, every version of both trades failed.
Refuted: Failed its test once trading costs were included. How to read a study.
Verdict, as the study states it: P8 long-gamma fade REFUTED; P9 short-gamma break REFUTED; Part D first-touch fade REFUTED; Part D2 (doctrine stop) REFUTED; P10 cage held 68% — descriptive only. The wall-fade line is closed on this sample.
- Study number
- FPR-26-07
- Versions tested
- 4
- Pre-registration written
- Sep 9, 2026, 12:55 ET
- First result
- Sep 9, 2026, 12:57 ET
- Markets
- NQ, with QQQ (and NDX, agreement only) strike-level gamma exposure
- Backs
- Gamma walls, cages and flow direction
- Sample
- 730 history days 2023-10-10 to 2026-09-08; 693 sessions evaluated (quad-witching excluded); halves 2023-10 to 2025-03 / 2025-03 to 2026-09
- Costs
- Part C: 1 pt slippage; Part D: limit fill at the wall or the bar's open, whichever is worse; costs not needed for the verdict (gross already negative)
Notes and defects
The original prereg file (created 12:55:44) predates the data pull (12:56:04 to 12:57:38). Partial because three disclosed changes followed partial output: Amendment 2 (proxy spot fix, written after descriptive policy figures had printed), a walk correction that removed a look-ahead (which had produced 62-64% hit rates), and Part D2 (added after Part D was refuted). Timestamp defect: those sections are stamped 13:05, 13:12 and 13:20, but the prereg file's last write is 13:03:53 and the results file (with D2 results) was created at 12:57:48 and last written 13:06:46. Arms = P8, P9, D, D2 (P10 is descriptive). One sentence giving the live shadow-ledger tally was redacted under the disclosure rule.
Data needed to rerun: CME futures 1-minute OHLCV bars (Databento GLBX layout: ts_event,rtype,publisher_id,instrument_id,open,high,low,close,volume,symbol) at <data-root>/fp-data/glbx/<ROOT>/1m/<YEAR>.csv; licensed vendor data, not redistributed (NQ); QQQ/NDX end-of-day strike gamma exposure and QQQ daily OHLC per date from Unusual Whales API data (requires your own subscription; the pull scripts here read the key from an env file named by UW_KEY_FILE) (pulled with backfill_history.mjs and backfill_ndx_close.mjs into <data-root>/fp-data/gex/history); live 09:10 QQQ snapshots <data-root>/fp-data/gex/2026/QQQ_*T0910.json.gz for the proxy validation (forward archive, not included)
Original working title: Gamma-wall history backfill: wall-fade and wall-break policies on 730 days of reconstructed dealer positioning
Files
Pre-registration2026-09-09-gamma-backfill-prereg.md
Results2026-09-09-gamma-backfill-results.md
Codebackfill_history.mjsbackfill_ndx_close.mjscrown_policies.pygamma_backfill.pygamma_policy.pyopen_factors.py
Hashes for every file are in SHA256SUMS. Market data is not included.
Cite this study
Futures Playbook Research (2026). Do prices bounce off gamma walls, or break through them?. Study FPR-26-07. https://www.futuresplaybook.com/research/gamma-wall-backfill
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.