If we weight by contracts purchased the gap is 1.02%, dollar weighted the gap is 1.00%.
I'm glad you enjoyed the paper :)
I'm glad you enjoyed the paper :)
I think an additional table/graph of how large-bet performance vs small-bet performance would be interesting in general, as well as broken out by market type.
It kinda answers of the question: Are large bets equal to smart money? or are they equal in "smartness" to small bets?