Do Long Options Pay in Negative Gamma? SPY, QQQ, IWM Backtest | FlashAlpha
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research · 1 min read

Do Long Options Pay in Negative Gamma? Long Strangles on SPY, QQQ and IWM Backtested, 2018 to 2026

Sessions after a negative dealer gamma close move almost twice as much on SPY. We tested whether buying strangles on those sessions makes money after realistic fills, on SPY, QQQ and IWM from 2018 to 2026, with the tests written down before the run.
FlashAlpha Research Research
Nov 11, 2026
1 min read
Research Enterprise GammaExposure Volatility Backtesting LongOptions SPY

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