We propose an aggregate 52-week high ratio (AH52) to proxy for scarcity of investor attention and show that AH52 positively predicts future momentum profits. The momentum strategy is profitable as one standard deviation increase in AH52 raises momentum profits by 0.90% per month. AH52 subsumes the predictive power of well-documented market state variables such as market illiquidity, market volatility, and down market state. A timing strategy based on AH52 exhibits a higher annualized Sharpe ratio than that of a passive buy-and-hold strategy. The predictive power of AH52 is robust across market capitalizations, sub-periods, alternative measures of aggregate 52-week high, G7 countries, the inclusion of market-wide information, and various momentum strategies.

This study examines intraday momentum in the unexplored VIX futures market and verifies its existence through various empirical tests. The intraday momentum of VIX futures appears to be robust across contracts with different expirations, intraday returns with different time intervals, different trading sessions, and multiple sub-periods. We propose that the hedging demand of VIX option market makers may contribute to the intraday momentum. Our empirical evidence shows that intraday momentum persists only when the net gamma exposure of VIX options is negative and the effect weakens when European investors are away from the market, supporting our proposed explanation. Strikingly, we also find that trading strategies based on intraday momentum can generate an average annualized return of up to nearly 18%.