Volume Rolling · SPXSet

EOD ΔVol Session 2026-08-13 · Exp 2026-08-13 · Spot 7,799.62 · Window 7700–7860 · Last slot C · Generated 2026-08-13 16:15:06 ET · ET · Data: SQLite · spx_intraday_2026-08-13.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

2026-08-13 SPX O 7,763.18 · H 7,816.70 · L 7,763.18 · C 7,798.99 prior C — VIX 14.63 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	7,748.50	7,799.60	7,814.93	7,800.68	7,782.96	7,777.37	7,786.93	7,790.05	7,794.27	7,790.27	7,792.73	7,800.38	7,802.46	7,799.62
VIX	14.43	14.63	14.78	14.45	14.68	14.67	14.70	14.66	14.74	14.68	14.69	14.71	14.71	14.57
ATM	33.30	20.65	19.75	18.60	19.85	18.10	14.20	11.60	9.90	9.00	7.58	7.50	7.17	1.62
IV	·	12.6	12.6	12.5	14.1	13.6	11.4	10.1	9.4	9.5	8.9	11.2	14.1	30.4
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
60	0	2.9	1.9	0.6	0.3	0.2	0.0	0.3	0.0	0.0	0.3	0.3	0.0
55	0	3.3	3.2	1.0	0.6	0.1	0.2	0.3	0.1	0.0	0.2	0.2	0.2
50	0	9.0	6.5	2.4	0.9	0.4	0.3	0.7	0.4	0.4	0.4	1.1	0.2
45	0	6.2	4.9	1.8	1.0	0.4	0.5	0.6	0.5	0.4	0.6	0.7	0.2
40	0	9.8	9.1	3.7	2.4	0.9	0.5	1.1	0.6	0.4	0.7	0.8	0.3
35	0	12.5	12.7	5.3	3.2	1.2	0.5	1.3	0.4	0.5	2.4	1.1	0.3
30	0	15.2	15.0	7.9	5.2	1.1	1.0	1.4	0.9	0.6	1.8	3.5	1.2
25	0	17.6	15.5	8.2	4.8	1.5	1.0	2.0	1.1	0.7	3.8	4.4	1.5
20	0	22.0	22.4	15.8	6.1	3.9	1.8	7.5	4.2	2.2	6.1	9.8	5.2
15	0	21.3	22.7	16.1	7.5	3.2	2.3	5.6	4.3	1.8	7.7	15.9	9.9
10	0	28.9	23.5	19.0	9.0	4.5	4.0	11.9	5.7	4.4	15.3	33.5	22.4
05	0	26.4	19.1	16.9	11.2	6.7	5.3	12.1	7.8	6.6	24.9	47.6	42.7
78	32.5	28.5	26.0	27.5	20.9	17.8	17.9	28.0	20.1	20.8	48.3	50.7	76.5
95	21.5	11.4	12.2	22.9	11.4	11.4	11.5	21.0	18.5	22.4	31.5	21.6	43.3
90	24.2	13.5	13.1	21.7	16.1	14.9	21.8	20.4	25.3	29.9	21.7	15.3	19.9
85	18.7	8.2	8.1	14.8	19.4	16.2	14.2	13.8	15.1	14.4	11.2	6.5	7.3
80	19.1	12.7	11.0	14.9	26.2	19.5	12.4	11.5	11.6	9.8	7.1	4.8	5.5
75	13.4	8.8	8.1	11.9	15.4	10.8	8.3	6.6	6.6	4.0	2.9	2.7	2.9
70	15.7	8.0	7.0	10.7	12.9	9.4	7.1	4.8	4.6	3.1	2.8	1.5	2.7
65	11.9	4.7	4.8	6.8	8.7	6.5	3.8	3.1	3.1	2.3	1.6	1.0	1.0
60	11.5	5.6	5.4	6.1	11.0	8.4	3.2	3.0	2.6	2.0	1.8	1.1	0.8
55	8.3	3.6	3.4	4.0	6.8	4.0	2.4	2.1	1.3	1.0	1.1	0.7	0.5
50	12.9	6.4	5.4	6.4	9.1	6.1	3.6	2.6	1.3	1.6	1.3	0.9	0.9
45	8.3	5.2	2.5	3.0	4.9	3.1	1.7	1.4	2.2	0.4	1.2	0.5	0.7
40	8.4	4.2	2.8	2.3	4.5	1.9	0.8	1.1	2.0	0.6	0.8	0.5	0.1
35	6.3	2.8	1.7	2.7	3.5	1.6	1.1	0.8	0.3	0.3	0.3	0.4	0.5
30	5.9	2.7	1.3	2.3	2.9	2.1	1.1	1.1	0.3	0.2	0.5	0.5	0.0
25	4.6	1.9	1.4	1.2	1.9	1.6	0.7	0.5	0.3	0.3	0.2	0.5	0.0
20	4.6	1.7	1.2	1.1	1.6	0.9	0.4	0.4	0.2	0.1	0.2	0.3	0.0
15	7.7	1.2	0.6	0.9	1.3	0.7	0.3	0.1	0.1	0.0	0.1	0.0	0.0
10	7.2	1.4	0.5	0.9	1.1	0.5	0.7	0.2	0.2	0.1	0.3	0.8	0.2
05	2.2	0.9	0.2	0.4	0.3	0.6	0.1	0.7	0.1	0.3	0.1	0.6	0.0
77	3.5	2.5	0.9	0.4	1.1	0.5	0.1	0.7	0.3	1.1	0.4	0.3	0.0

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
60	0	4.8	6.8	7.5	7.8	8.0	8.1	8.4	8.5	8.6	8.9	9.3	9.4
55	0	4.6	7.9	9.0	9.7	9.8	10.1	10.5	10.6	10.7	10.9	11.1	11.4
50	0	12.1	18.6	21.0	22.0	22.5	22.9	23.6	24.1	24.5	25.0	26.1	26.4
45	0	8.4	13.3	15.2	16.2	16.6	17.1	17.8	18.3	18.8	19.4	20.2	20.4
40	0	14.3	23.4	27.2	29.7	30.6	31.1	32.3	33.0	33.4	34.2	35.1	35.4
35	0	17.4	30.2	35.5	38.8	40.0	40.6	42.0	42.5	43.0	45.4	46.6	46.9
30	0	23.3	38.4	46.3	51.6	52.7	53.7	55.1	56.1	56.7	58.5	62.1	63.3
25	0	27.8	43.4	51.6	56.5	58.0	59.0	61.0	62.2	63.0	66.9	71.3	72.9
20	0	41.1	63.5	79.4	85.5	89.4	91.3	98.8	103.0	105.3	111.4	121.2	126.5
15	0	37.5	60.2	76.4	83.9	87.1	89.5	95.2	99.5	101.4	109.2	125.1	135.1
10	0	46.2	69.7	88.8	97.8	102.4	106.4	118.4	124.2	128.7	144.1	177.6	200.1
05	0	40.6	59.7	76.7	88.0	94.8	100.1	112.2	120.1	126.7	151.7	199.3	242.0
78	32.5	61.0	87.1	114.6	135.6	153.4	171.4	199.4	219.5	240.4	288.8	339.5	416.1
95	21.5	33.0	45.3	68.2	79.7	91.2	102.7	123.8	142.3	164.8	196.3	218.0	261.3
90	24.2	37.8	51.0	72.7	88.9	103.8	125.6	146.1	171.5	201.5	223.2	238.5	258.4
85	18.7	27.0	35.1	49.9	69.3	85.5	99.8	113.7	128.8	143.3	154.5	161.0	168.4
80	19.1	31.9	43.0	58.0	84.2	103.7	116.1	127.7	139.3	149.1	156.3	161.2	166.7
75	13.4	22.3	30.4	42.3	57.8	68.6	76.9	83.6	90.3	94.4	97.4	100.1	103.0
70	15.7	23.7	30.8	41.5	54.5	64.0	71.1	76.0	80.6	83.7	86.5	88.0	90.8
65	11.9	16.6	21.4	28.3	37.0	43.5	47.3	50.5	53.6	56.0	57.7	58.8	59.8
60	11.5	17.2	22.6	28.8	39.9	48.3	51.6	54.6	57.3	59.3	61.2	62.3	63.1
55	8.3	11.9	15.4	19.4	26.3	30.3	32.8	34.9	36.2	37.2	38.4	39.1	39.6
50	12.9	19.3	24.8	31.2	40.4	46.6	50.2	52.9	54.2	55.9	57.2	58.1	59.1
45	8.3	13.5	16.0	19.1	24.0	27.1	28.9	30.4	32.6	33.1	34.3	34.9	35.6
40	8.4	12.7	15.5	17.9	22.4	24.3	25.2	26.4	28.5	29.1	29.9	30.4	30.6
35	6.3	9.2	11.0	13.7	17.2	18.9	20.0	20.8	21.2	21.6	22.0	22.4	23.0
30	5.9	8.7	10.1	12.4	15.3	17.5	18.6	19.8	20.2	20.5	21.0	21.6	21.6
25	4.6	6.5	7.9	9.1	11.1	12.7	13.5	14.0	14.4	14.7	15.0	15.6	15.6
20	4.6	6.4	7.7	8.8	10.4	11.4	11.9	12.3	12.5	12.7	12.9	13.2	13.3
15	7.7	8.9	9.5	10.4	11.7	12.5	12.8	12.9	13.1	13.2	13.3	13.4	13.4
10	7.2	8.7	9.2	10.2	11.3	11.9	12.7	12.9	13.2	13.3	13.6	14.4	14.7
05	2.2	3.2	3.4	3.9	4.3	4.9	5.1	5.9	6.0	6.3	6.5	7.2	7.2
77	3.5	6.0	7.0	7.4	8.6	9.1	9.3	10.1	10.5	11.6	12.0	12.4	12.5

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	7,748.50	current_may_be_stale	0	·	·	·	·	7750	·	14.43	0.000	0.00000
T	10:00	7,799.60 +51.1	current	249,556	7,800	32.5	7,767.5	21.7	7800	12.6	14.63	-0.038	0.03080
T30	10:30	7,814.93 +15.3	current	312,405	7,810	28.9	7,801.0	23.2	7815	12.6	14.78	-0.022	0.03240
E	11:00	7,800.68 -14.3	current	275,715	7,800	26.0	7,803.3	20.8	7800	12.5	14.45	0.016	0.03420
E30	11:30	7,782.96 -17.7	current	263,238	7,800	27.5	7,793.8	19.6	7785	14.1	14.68	-0.065	0.03200
N	12:00	7,777.37 -5.6	current	234,743	7,780	26.2	7,783.3	23.3	7775	13.6	14.67	0.075	0.03520
N30	12:30	7,786.93 +9.6	current	164,007	7,780	19.5	7,781.7	30.9	7785	11.4	14.70	0.064	0.04480
P1	13:00	7,790.05 +3.1	current	132,229	7,790	21.8	7,785.3	36.1	7790	10.1	14.66	-0.028	0.05500
P130	13:30	7,794.27 +4.2	current	170,437	7,800	28.0	7,792.1	40.8	7795	9.4	14.74	-0.071	0.06440
P2	14:00	7,790.27 -4.0	current	143,880	7,790	25.3	7,789.7	41.0	7790	9.5	14.68	0.021	0.07100
P230	14:30	7,792.73 +2.5	current	134,385	7,790	29.9	7,790.0	54.6	7795	8.9	14.69	-0.190	0.08560
P3	15:00	7,800.38 +7.7	current	201,293	7,800	48.3	7,797.3	52.1	7800	11.2	14.71	-0.012	0.08500
P330	15:30	7,802.46 +2.1	current	231,856	7,800	50.7	7,801.4	51.8	7800	14.1	14.71	0.286	0.08940
C	16:00 Close	7,799.62 -2.8	current	248,332	7,800	76.5	7,799.0	65.5	7800	30.4	14.57	0.043	0.39460

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.