Hedging demand and market intraday momentum

Hedging short gamma exposure requires trading in the direction of price movements, thereby creating momentum. Using intraday returns on over 60 futures equities, bonds, commodities, and currencies between 1974 2020, we find strong market momentum everywhere. The return during last 30 minutes before close is positively predicted by rest day (from previous to minutes). predictive power economically statistically highly significant, reverts next days. We provide novel evidence that links hedging demand from participants such as makers options leveraged ETFs.