RESEARCH
Hedgewall Research
Short, checkable studies of how options market-structure measures behave. Each one says what it does not show.
STUDIES
- HR-002v1
VOLEX: where the day's vega trades, and what that does not tell you
On 439 NIFTY sessions, VOLEX and plain volume named the same busiest strike on 90% of days at 12:30. The far-away half of the strikes holds 15% of plain volume and 3% of VOLEX.
Read the study - HR-001v2
The Delta read: what it follows, and what it does not show
The Delta read leaned the same way as NIFTY on 63% of the readings where the index had already moved more than 0.3%. In 2025 and 2026 its lean did not separate what NIFTY did in the next hour.
Read the study