Volume Rolling · SPXSet

EOD ΔVol Session 2026-08-12 · Exp 2026-08-12 · Spot 7,748.29 · Window 7700–7800 · Last slot C · Generated 2026-08-12 16:15:06 ET · ET · Data: SQLite · spx_intraday_2026-08-12.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

2026-08-12 SPX O 7,765.46 · H 7,766.01 · L 7,737.95 · C 7,748.50 prior C — VIX 14.55 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	7,728.20	7,750.20	7,752.84	7,744.16	7,743.83	7,742.87	7,747.18	7,751.66	7,750.95	7,751.35	7,754.12	7,754.36	7,751.86	7,748.29
VIX	14.95	14.77	14.76	14.88	14.82	14.79	14.80	14.68	14.66	14.58	14.54	14.53	14.46	14.43
ATM	45.00	26.80	22.65	19.90	17.35	14.70	13.40	12.45	10.70	8.60	7.95	7.30	5.78	2.30
IV	·	16.6	14.5	13.5	12.3	11.1	10.8	10.8	10.2	9.1	9.8	11.1	11.6	32.9
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	18.8	7.5	4.6	1.8	1.5	1.2	1.6	0.6	0.6	1.4	2.5	2.9	0.3
95	6.0	3.4	2.1	0.7	0.6	0.5	1.1	0.4	0.2	0.8	0.5	0.3	0.0
90	10.2	4.0	4.9	2.1	1.2	0.7	0.8	1.1	0.8	0.5	1.3	1.0	0.2
85	8.1	4.6	5.2	2.3	1.7	1.1	1.5	1.1	1.5	1.7	1.9	0.8	0.1
80	12.5	8.1	7.6	4.0	2.2	2.0	2.9	2.6	1.3	1.3	2.2	1.5	0.5
75	9.0	7.6	8.8	5.8	3.3	2.7	6.4	3.7	2.2	1.8	6.3	2.0	0.8
70	9.2	7.6	10.2	5.5	4.6	3.9	5.6	4.9	3.7	3.4	7.0	6.4	3.2
65	8.9	6.9	7.9	7.8	5.4	5.6	7.6	8.5	5.1	5.4	16.0	7.0	5.7
60	16.1	9.5	11.6	7.9	8.1	7.5	12.8	13.9	11.2	15.7	33.0	23.5	16.5
55	16.2	11.6	11.7	7.9	6.3	7.3	15.0	16.2	13.5	19.6	30.7	28.0	39.3
50	20.8	21.6	22.4	10.1	10.9	15.9	20.6	18.6	16.2	24.5	25.1	33.9	76.9
45	9.6	14.9	15.3	13.3	11.7	13.5	12.8	11.4	10.4	10.5	10.5	14.6	56.5
40	9.4	10.9	13.6	14.1	14.5	10.8	13.1	10.9	7.0	6.8	6.8	7.5	23.6
35	6.5	8.2	7.9	6.5	7.4	7.1	8.5	4.9	3.7	3.1	5.1	2.3	6.2
30	8.7	7.8	9.3	6.3	7.7	6.8	9.6	4.8	2.9	2.2	3.8	2.1	3.5
25	8.3	7.2	7.5	5.0	6.3	4.9	4.4	2.5	2.4	2.4	2.9	0.9	1.6
20	9.7	8.6	9.9	6.9	6.1	4.1	3.7	2.1	1.6	1.1	2.6	0.5	1.8
15	8.5	6.6	6.1	3.3	3.1	3.2	2.8	0.9	0.9	0.8	1.0	0.3	0.9
10	7.5	7.2	8.0	3.9	2.9	4.5	2.0	0.9	0.7	0.6	2.2	0.5	0.7
05	7.3	4.2	3.7	2.2	1.8	1.5	1.3	0.6	0.3	0.4	1.4	0.6	0.2
77	10.9	6.8	6.2	4.0	2.8	3.9	2.3	1.3	1.8	0.5	0.7	0.5	0.9

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	18.8	26.3	31.0	32.9	34.4	35.7	37.4	38.0	38.7	40.1	42.7	45.6	46.0
95	6.0	9.4	11.5	12.3	13.0	13.5	14.6	15.1	15.4	16.2	16.8	17.1	17.2
90	10.2	14.2	19.1	21.3	22.5	23.3	24.1	25.2	26.1	26.6	28.0	29.0	29.3
85	8.1	12.8	18.0	20.4	22.1	23.2	24.7	25.9	27.4	29.2	31.2	32.0	32.2
80	12.5	20.6	28.2	32.2	34.5	36.5	39.5	42.1	43.5	44.9	47.2	48.7	49.2
75	9.0	16.6	25.4	31.3	34.6	37.4	43.8	47.6	49.9	51.7	58.1	60.1	61.0
70	9.2	16.9	27.1	32.6	37.3	41.2	46.8	51.8	55.6	59.1	66.1	72.6	75.9
65	8.9	15.8	23.8	31.6	37.0	42.7	50.3	58.9	64.0	69.4	85.5	92.5	98.3
60	16.1	25.7	37.3	45.3	53.5	61.0	73.9	87.9	99.1	114.9	148.0	171.5	188.0
55	16.2	27.8	39.6	47.6	53.9	61.3	76.3	92.6	106.1	125.8	156.6	184.6	223.9
50	20.8	42.5	64.9	75.1	86.1	102.0	122.6	141.3	157.6	182.1	207.2	241.2	318.2
45	9.6	24.5	39.9	53.2	64.9	78.5	91.3	102.7	113.2	123.8	134.3	148.9	205.5
40	9.4	20.3	34.0	48.2	62.7	73.6	86.7	97.6	104.7	111.6	118.4	125.9	149.5
35	6.5	14.7	22.6	29.2	36.6	43.8	52.3	57.3	61.1	64.2	69.4	71.7	78.0
30	8.7	16.5	25.9	32.2	40.0	46.8	56.5	61.3	64.3	66.6	70.4	72.6	76.2
25	8.3	15.5	23.1	28.1	34.5	39.5	43.9	46.4	48.9	51.4	54.3	55.3	56.9
20	9.7	18.3	28.3	35.2	41.4	45.5	49.3	51.4	53.0	54.1	56.8	57.4	59.3
15	8.5	15.2	21.3	24.7	27.8	31.0	33.8	34.8	35.7	36.6	37.6	38.0	38.9
10	7.5	14.8	22.8	26.8	29.7	34.2	36.3	37.3	38.0	38.6	40.9	41.4	42.1
05	7.3	11.5	15.3	17.5	19.3	20.8	22.2	22.8	23.2	23.6	25.1	25.7	26.0
77	10.9	17.7	24.0	28.1	30.9	34.9	37.2	38.6	40.5	41.0	41.8	42.3	43.2

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	7,728.20	·	0	·	·	·	·	7730	·	14.95	0.000	0.00000
T	10:00	7,750.20 +22.0	·	223,148	7,750	20.8	7,753.0	20.9	7750	16.6	14.77	-0.011	0.02370
T30	10:30	7,752.84 +2.6	·	175,615	7,750	21.6	7,748.5	24.4	7755	14.5	14.76	-0.068	0.02820
E	11:00	7,744.16 -8.7	·	185,319	7,750	22.4	7,748.0	27.8	7745	13.5	14.88	-0.022	0.03180
E30	11:30	7,743.83 -0.3	·	122,568	7,740	14.1	7,746.5	30.7	7745	12.3	14.82	-0.031	0.03680
N	12:00	7,742.87 -1.0	current	111,077	7,740	14.5	7,744.5	33.5	7745	11.1	14.79	-0.077	0.04320
N30	12:30	7,747.18 +4.3	current	109,711	7,750	15.9	7,743.9	36.8	7745	10.8	14.80	0.115	0.04720
P1	13:00	7,751.66 +4.5	current	137,368	7,750	20.6	7,748.5	35.3	7750	10.8	14.68	0.083	0.05140
P130	13:30	7,750.95 -0.7	current	112,811	7,750	18.6	7,751.1	41.1	7750	10.2	14.66	0.024	0.05960
P2	14:00	7,751.35 +0.4	current	89,326	7,750	16.2	7,750.5	45.1	7750	9.1	14.58	0.067	0.07420
P230	14:30	7,754.12 +2.8	current	105,562	7,750	24.5	7,752.6	56.8	7755	9.8	14.54	-0.057	0.07960
P3	15:00	7,754.36 +0.2	current	164,702	7,760	33.0	7,754.3	54.0	7755	11.1	14.53	-0.069	0.08610
P330	15:30	7,751.86 -2.5	current	138,009	7,750	33.9	7,754.3	55.5	7750	11.6	14.46	0.248	0.11140
C	16:00 Close	7,748.29 -3.6	current	240,617	7,750	76.9	7,748.7	71.8	7750	32.9	14.43	-0.500	0.30170

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.