TLADe Research

Stats

Reproducible research on Gamma Exposure (GEX), Anchored VWAP, dealer positioning and intraday market structure — derived from the TLADe analytics dataset for ES, NQ, SPX and NDX.

The TLADe Stats series publishes peer-reviewable, fully reproducible statistical studies derived from the same data we collect every trading day for the TLADe terminal: 5-minute futures bars on ES and NQ, options chains and dealer gamma exposure (GEX) levels on SPX and NDX, session boxes, Anchored VWAPs and breakout structure. Each study states its sample size, its Wilson 95% confidence interval, its p-value, and ships the raw Python scripts. We publish what we find — including the popular setups that don't survive a careful look at the numbers.
STUDY · 002 2026-05-20 ES Futures GEX Volume Profile
GEX pre-open vs Volume Profile RTH — shape overlap
The GEX |netGex| profile published before the US RTH open already accounts for ~60% (Histogram Intersection median) of the day's Volume Profile mass. POC distance median: 20 ES points. Methodology, monthly gallery of all sessions, and reproducible Python script.
Universe 36 days Period 2026-02 → 2026-05 Median HI 60.2% Median POC dist 20 pt
STUDY · 001 2026-05-20 ES Futures AVWAP Session
AVWAP Asia/EU/US factorial study
The Asia → EU → US directional carry on ES futures is statistically random. The only robust intraday signal is how price treats the cumulative Asia AVWAP during US hours: HOLD = continuation, BREAK = reversal, UNTESTED = pure trend. Three setups survive the Wilson 95% lower-bound threshold; two popular setups are quantitatively debunked.
Universe 467 days Period 2024-06 → 2026-05 Robust setups 3 Busted myths 3