Volume Rolling · SPXSet

EOD ΔVol Session 2026-08-11 · Exp 2026-08-11 · Spot 7,722.68 · Window 7700–7800 · Last slot C · Generated 2026-08-11 16:15:07 ET · ET · Data: SQLite · spx_intraday_2026-08-11.json

Wall vs flow Part1 OI walls vs latest-slot peak ΔVol

Session path Spot · ΣΔVol (K) · VW K · full 15-slot grid · empty ≠ 0 · CBOE ~15m delay

Session vol VIX · ATM IV% · full 15-slot grid · empty ≠ 0 · IV axis ignores C

2026-08-11 SPX O 7,767.51 · H 7,767.51 · L 7,717.25 · C 7,728.20 prior C — VIX 15.28 prior — OHLC Ammo · chain not patched · SPX:ammo_eod · VIX:ammo_eod

SPX VIX ATM Rolling
·	O	T	½	E	½	N	½	1	½	2	½	3	½	C
SPX	7,753.11	7,756.79	7,760.79	7,760.49	7,747.94	7,744.10	7,740.63	7,734.83	7,732.50	7,735.20	7,721.82	7,723.92	7,729.56	7,722.68
VIX	·	·	15.39	15.24	15.28	15.33	15.43	15.47	15.38	15.26	15.34	15.27	15.27	15.33
ATM	·	·	·	·	·	·	·	·	13.00	9.90	12.00	8.90	6.58	2.83
IV	·	·	·	·	·	·	·	·	12.4	10.7	14.6	13.5	14.0	38.1
Wk	·	·	·	·	·	·	·	·	·	·	·	·	·	·

SPX · VIX · 0DTE ATM · IV% · Week ATM by slot · no heat map

ATM straddle dual Y · 0DTE left · Week right · full 15-slot grid · empty ≠ 0

Volume Rolling
k	T	½	E	½	N	½	1	½	2	½	3	½	C
78	12.1	5.1	2.4	3.6	0.7	0.6	0.5	2.3	0.5	0.2	0.3	0.6	0.1
95	5.4	4.4	2.0	2.4	0.7	0.6	0.5	1.9	0.4	0.4	0.1	0.3	0.7
90	7.2	7.0	5.2	2.5	2.7	0.9	0.8	1.5	0.4	0.4	0.1	0.2	0.2
85	8.0	6.7	6.0	4.3	1.7	1.2	1.0	1.7	0.3	0.4	0.3	0.4	0.1
80	14.5	11.6	8.7	7.9	3.1	2.7	1.9	1.9	0.5	0.6	0.5	0.7	0.3
75	10.3	10.8	8.6	9.7	3.8	2.8	2.6	1.7	1.0	1.9	0.7	0.6	0.5
70	12.0	12.2	13.1	14.1	7.0	5.3	3.2	2.7	0.9	1.4	1.1	0.6	0.6
65	14.3	15.0	14.2	16.8	9.9	7.4	5.9	3.8	2.6	4.2	1.8	1.9	1.4
60	21.0	24.2	23.9	21.7	12.7	10.7	8.8	6.1	3.4	3.7	1.4	1.7	1.6
55	17.6	12.4	13.4	19.1	12.5	11.2	9.7	6.2	3.8	4.4	2.5	2.7	3.2
50	19.7	12.6	12.3	29.2	21.1	19.8	17.7	13.6	9.8	9.9	6.5	4.2	6.9
45	9.2	6.1	6.8	18.3	19.1	18.7	15.9	14.5	11.2	10.4	7.6	4.7	12.2
40	9.5	8.0	7.3	14.3	22.1	19.5	23.3	19.4	17.0	18.1	10.3	9.1	22.0
35	7.2	5.5	4.8	9.4	10.7	11.1	16.4	23.8	20.9	24.7	22.4	15.8	41.8
30	9.6	7.1	4.4	10.5	10.7	10.6	16.4	28.9	20.1	31.2	27.1	29.5	64.3
25	9.7	4.7	4.2	7.5	12.6	6.5	9.5	19.7	12.5	26.3	28.4	32.6	64.2
20	8.5	4.2	3.5	5.9	7.6	6.3	6.8	17.8	9.8	20.0	31.6	27.6	42.8
15	6.9	4.1	2.5	3.7	4.8	3.9	4.6	14.2	6.2	11.2	19.9	13.3	18.2
10	6.0	2.1	1.5	3.0	4.1	2.6	2.9	9.3	4.2	7.4	15.5	8.6	7.1
05	4.2	1.9	1.3	2.5	2.8	1.4	1.4	6.8	2.0	5.4	10.3	3.4	4.3
77	7.3	3.2	1.8	3.3	3.8	3.1	2.2	8.1	3.1	5.5	11.1	5.3	4.1

Volume Stock by slot

Session cumulative volume at each slot (not Δ) · unit K · same window as ΔVol. Total = all sides · C/P = call & put side-by-side. OI-by-slot removed (intraday OI typically flat on free chain).

Volume Stock
k	T	½	E	½	N	½	1	½	2	½	3	½	C
78	12.1	17.3	19.7	23.4	24.1	24.8	25.4	27.7	28.3	28.5	28.9	29.6	29.7
95	5.4	9.9	11.9	14.4	15.1	15.8	16.3	18.3	18.7	19.1	19.3	19.7	20.4
90	7.2	14.2	19.5	22.1	24.8	25.8	26.6	28.1	28.6	29.0	29.2	29.5	29.7
85	8.0	14.7	20.7	25.1	26.9	28.2	29.2	31.0	31.3	31.8	32.1	32.5	32.7
80	14.5	26.2	34.9	42.9	46.0	48.8	50.7	52.6	53.2	53.8	54.4	55.1	55.4
75	10.3	21.1	29.8	39.6	43.4	46.3	48.9	50.6	51.7	53.6	54.4	55.0	55.6
70	12.0	24.3	37.4	51.5	58.6	63.9	67.1	69.9	70.8	72.2	73.4	74.0	74.7
65	14.3	29.3	43.6	60.5	70.4	77.9	83.9	87.7	90.4	94.6	96.5	98.4	99.9
60	21.0	45.2	69.2	91.0	103.7	114.5	123.3	129.5	133.0	136.8	138.2	139.9	141.6
55	17.6	30.0	43.5	62.6	75.2	86.4	96.2	102.5	106.3	110.8	113.4	116.2	119.4
50	19.7	32.3	44.7	73.9	95.1	114.9	132.7	146.4	156.2	166.2	172.7	177.0	184.0
45	9.2	15.3	22.2	40.5	59.7	78.4	94.4	109.0	120.2	130.7	138.3	143.1	155.3
40	9.5	17.6	24.9	39.3	61.4	80.9	104.3	123.7	140.8	158.9	169.3	178.5	200.5
35	7.2	12.8	17.6	27.0	37.8	49.0	65.5	89.4	110.4	135.1	157.6	173.4	215.2
30	9.6	16.8	21.2	31.8	42.5	53.1	69.6	98.5	118.6	149.8	177.0	206.6	270.9
25	9.7	14.4	18.7	26.3	38.9	45.4	55.0	74.7	87.3	113.6	142.1	174.7	238.9
20	8.5	12.8	16.3	22.3	30.0	36.3	43.1	61.0	70.8	90.9	122.6	150.2	193.0
15	6.9	11.1	13.7	17.4	22.3	26.2	30.8	45.0	51.2	62.5	82.5	95.8	114.0
10	6.0	8.2	9.8	12.8	17.0	19.6	22.6	31.9	36.2	43.6	59.2	67.8	75.0
05	4.2	6.1	7.5	10.0	12.9	14.3	15.7	22.6	24.6	30.1	40.4	43.9	48.2
77	7.3	10.6	12.4	15.8	19.6	22.8	25.0	33.2	36.3	41.8	53.0	58.3	62.4

Volume by strike Call / Put / Total (K) · X = strike low→high · timeline scrub = slot · width matches Session path

— —

Slot Options Vol X = full 15-slot grid · empty ≠ 0 · left = Call / Put (K) · right = SPX

Slots captured · flow summary (P1)

Key	Period	Spot	Src	ΣΔVol	Max K	Max Δ	VW K	ATM vol%	ATM	IV%	VIX	δ	γ
O	09:30 Open	7,753.11	·	0	·	·	·	·	·	·	·	·	·
T	10:00	7,756.79 +3.7	·	221,388	7,760	21.0	7,754.0	·	·	·	·	·	·
T30	10:30	7,760.79 +4.0	·	170,020	7,760	24.2	7,757.7	·	·	·	15.39	·	·
E	11:00	7,760.49 -0.3	·	149,031	7,760	23.9	7,757.5	·	·	·	15.24	·	·
E30	11:30	7,747.94 -12.6	·	210,627	7,750	29.2	7,751.8	·	·	·	15.28	·	·
N	12:00	7,744.10 -3.8	·	175,505	7,740	22.1	7,744.4	·	·	·	15.33	·	·
N30	12:30	7,740.63 -3.5	·	147,806	7,750	19.8	7,744.6	·	·	·	15.43	·	·
P1	13:00	7,734.83 -5.8	·	153,022	7,740	23.3	7,741.8	·	·	·	15.47	·	·
P130	13:30	7,732.50 -2.3	·	206,927	7,730	28.9	7,734.6	·	7730	12.4	15.38	·	·
P2	14:00	7,735.20 +2.7	·	131,499	7,735	20.9	7,735.1	·	7735	10.7	15.26	·	·
P230	14:30	7,721.82 -13.4	·	188,778	7,730	31.2	7,731.9	·	7720	14.6	15.34	·	·
P3	15:00	7,723.92 +2.1	·	200,577	7,720	31.6	7,725.7	·	7725	13.5	15.27	·	·
P330	15:30	7,729.56 +5.6	·	164,825	7,725	32.6	7,727.9	·	7730	14.0	15.27	·	·
C	16:00 Close	7,722.68 -6.9	·	297,575	7,730	64.3	7,728.9	·	7725	38.1	15.33	·	·

P1 flow (volume rolling payload): ΣΔVol = sum of strike ΔVolume this slot · Max K / Max Δ = strike with largest Δ (Δ in K, same as matrix) · VW K = volume-weighted average strike of positive Δ · ATM vol% = share of ΔVol in ATM±1 step. Spot shows slot-to-slot Δ when available. Observation only.