Do moving gamma walls signal a trade?
Checks whether a shift in the gamma walls (price levels where options hedging tends to slow the market), seen when the options data updates at 10:10 a.m., is a reliable signal to buy or sell Nasdaq-100 futures. The signals leaned the right way but were not strong enough to pass, so they are background information only.
Refuted: Failed its test once trading costs were included. How to read a study.
Verdict, as the study states it: REFUTED as mechanical 10:10 entries; suggestive as a context factor.
- Study number
- FPR-26-08
- Versions tested
- 3
- Pre-registration written
- Sep 9, 2026, 13:10 ET
- First result
- Sep 9, 2026, 13:10 ET
- Markets
- NQ with QQQ gamma book
- Backs
- Gamma walls, cages and flow direction
- Sample
- 693 sessions 2023-10-11 to 2026-09-04; halves split 2025-03-15
- Costs
- 0.25 pt slippage; stop max(12, 2 x ATR3 of 5m bars); target 1.5R; 60-minute cap
Notes and defects
All three policies (M1 wall drift, M2 tilt shift, M3 flip cross) were positive in both halves but none cleared one-sided p < 0.0167, so all failed the frozen rule. Timestamp defect: the prereg says 'frozen 2026-09-09 13:55', but it was created 13:10:11 (same second as wall_migration.py) and the results 8 s later, headed 13:10.
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); <data-root>/fp-data/gex/history 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)
Original working title: Gamma-wall migration at the 10:10 book refresh as an NQ entry signal
Files
Pre-registration2026-09-09-wall-migration-prereg.md
Results2026-09-09-wall-migration-results.md
Codecrown_policies.pygamma_policy.pyopen_factors.pywall_migration.py
Hashes for every file are in SHA256SUMS. Market data is not included.
Cite this study
Futures Playbook Research (2026). Do moving gamma walls signal a trade?. Study FPR-26-08. https://www.futuresplaybook.com/research/gamma-wall-migration
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.