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11 days ago
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Test options expiry and US market holidays as known-in-advance events
Monthly and quarterly Deribit expiries (last Friday, 08:00 UTC) showed no effect beyond an ordinary Friday 08:00 (quarterly +0.06, 95% CI -0.58 to +0.87). Weekdays the NYSE is closed were clearly calmer: -0.62 at the US session hour and -0.28 over the rest of the day. A holiday variance factor (0.74 on average, refitted quarterly) on the live HAR range brought holiday-window 80% coverage from 86-90% down towards 80% and improved the holiday-window interval score by 1-3%; overall the gain is 0.02-0.09% (significant at 6h and 24h only). Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>220ea72