Volume Rolling · SPXSet

EOD ΔVol Session 2026-08-14 · Exp 2026-08-14 · Spot 7,783.34 · Window 7755–7855 · Last slot C · Generated 2026-08-14 16:15:06 ET · ET · Data: SQLite · spx_intraday_2026-08-14.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

2026-08-14 SPX O 7,806.60 · H 7,810.01 · L 7,776.31 · C 7,785.76 prior C — VIX 14.25 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	7,806.60	7,805.83	7,794.88	7,789.89	7,783.06	7,784.02	7,789.40	7,778.57	7,779.24	7,780.01	7,781.27	7,783.33	7,784.48	7,783.34
VIX	14.47	14.60	14.61	14.49	14.55	14.56	14.46	14.45	14.33	14.31	14.31	14.35	14.33	14.28
ATM	22.40	19.90	17.65	15.55	15.50	13.80	11.70	12.00	10.10	9.10	7.80	6.53	5.00	1.67
IV	13.3	12.3	11.3	10.5	11.0	10.4	9.5	10.5	9.7	9.7	9.5	9.6	10.5	29.7
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	O	T	½	E	½	N	½	1	½	2	½	3	½	C
55	2.3	5.7	2.4	1.2	0.6	0.1	0.2	0.1	0.1	0.4	0.2	0.1	0.3	0.0
50	3.3	7.8	5.6	3.9	1.8	0.7	0.5	0.6	0.2	1.0	0.9	0.4	0.4	0.0
45	1.9	4.3	4.9	1.9	2.2	0.5	0.3	0.4	0.1	0.1	0.6	0.1	0.2	0.0
40	1.1	6.2	5.1	1.9	1.9	0.5	0.9	0.6	0.3	0.2	0.4	0.2	1.0	0.0
35	1.3	5.1	6.8	2.7	2.9	0.8	0.7	1.0	0.4	0.2	0.7	0.5	0.6	0.1
30	2.1	8.5	10.5	4.0	2.8	1.2	1.1	1.1	0.6	0.4	0.7	0.9	0.6	0.1
25	2.0	8.5	10.0	6.2	4.7	2.9	1.3	2.2	1.1	0.9	0.5	0.5	0.5	0.3
20	1.8	13.2	14.3	8.6	6.9	2.4	1.9	2.2	0.9	1.0	1.2	0.9	1.0	0.4
15	1.3	9.4	13.0	8.4	9.0	2.7	2.3	2.3	0.9	1.2	1.2	0.8	2.1	1.0
10	2.1	13.4	20.2	13.3	9.9	5.0	4.7	3.4	2.1	1.8	2.3	3.3	1.7	0.9
05	3.6	14.7	20.0	9.9	10.6	6.3	5.2	5.2	3.3	2.0	3.6	2.8	3.3	2.2
78	3.1	18.8	24.7	19.6	18.4	17.7	15.6	15.8	7.9	6.8	8.0	8.1	7.0	8.6
95	1.3	7.9	15.1	20.5	15.3	11.0	11.1	13.1	7.7	7.0	8.9	8.8	6.4	10.0
90	1.4	7.5	14.7	22.1	23.7	16.8	19.9	18.9	13.9	11.7	19.7	23.8	22.9	36.8
85	1.0	7.0	11.7	11.0	22.2	22.6	18.3	20.8	15.8	17.7	26.3	33.2	34.2	67.0
80	1.2	6.3	11.7	11.9	23.0	22.9	13.0	22.8	22.0	25.0	28.2	30.5	35.4	59.2
75	1.2	5.1	7.5	7.9	11.2	10.4	8.8	14.3	14.6	19.8	17.1	14.9	18.6	19.0
70	1.2	4.8	8.2	6.6	10.9	9.8	7.2	9.8	9.0	13.0	9.2	8.0	7.4	7.2
65	1.0	3.5	4.2	5.7	8.8	8.8	4.5	6.8	5.2	5.9	6.5	4.0	3.4	3.5
60	0.9	3.8	4.9	3.9	5.6	5.8	4.4	4.6	3.8	4.3	4.1	3.9	2.0	2.3
55	0.7	2.4	2.4	2.8	4.3	4.6	2.1	2.4	2.3	2.1	2.2	1.6	1.2	1.4

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	O	T	½	E	½	N	½	1	½	2	½	3	½	C
55	2.3	8.1	10.5	11.7	12.3	12.4	12.7	12.8	13.0	13.4	13.6	13.8	14.1	14.1
50	3.3	11.2	16.8	20.8	22.6	23.3	23.9	24.5	24.8	25.8	26.7	27.2	27.6	27.7
45	1.9	6.2	11.1	13.1	15.4	16.0	16.4	16.9	17.0	17.2	17.9	18.0	18.2	18.3
40	1.1	7.3	12.5	14.4	16.4	17.0	18.0	18.6	18.9	19.2	19.6	19.8	20.9	20.9
35	1.3	6.5	13.3	16.1	19.1	19.9	20.6	21.7	22.2	22.5	23.2	23.8	24.4	24.6
30	2.1	10.6	21.1	25.1	27.9	29.2	30.3	31.5	32.1	32.5	33.2	34.2	34.9	35.0
25	2.0	10.6	20.6	26.9	31.6	34.6	35.9	38.2	39.3	40.3	40.8	41.3	41.9	42.2
20	1.8	15.0	29.4	38.0	45.0	47.4	49.3	51.6	52.6	53.6	54.8	55.8	56.8	57.2
15	1.3	10.8	23.8	32.3	41.3	44.1	46.4	48.8	49.7	51.0	52.2	53.0	55.1	56.2
10	2.1	15.6	35.9	49.2	59.1	64.2	69.0	72.4	74.6	76.4	78.8	82.2	83.9	84.9
05	3.6	18.3	38.3	48.3	58.9	65.2	70.4	75.7	79.0	81.0	84.7	87.5	90.9	93.1
78	3.1	21.9	46.6	66.3	84.7	102.5	118.2	134.0	142.0	148.8	156.9	165.1	172.1	180.7
95	1.3	9.2	24.3	44.8	60.2	71.2	82.4	95.6	103.3	110.4	119.3	128.1	134.6	144.7
90	1.4	8.9	23.6	45.8	69.5	86.3	106.2	125.2	139.2	150.9	170.7	194.5	217.5	254.3
85	1.0	8.1	19.8	30.8	53.1	75.8	94.2	115.0	130.9	148.6	175.0	208.2	242.5	309.6
80	1.2	7.5	19.2	31.1	54.2	77.2	90.3	113.2	135.2	160.2	188.5	219.1	254.5	313.8
75	1.2	6.4	13.9	21.8	33.0	43.5	52.4	66.7	81.4	101.2	118.4	133.3	151.9	171.0
70	1.2	6.0	14.2	20.8	31.8	41.6	48.8	58.7	67.7	80.7	90.0	98.1	105.6	112.8
65	1.0	4.5	8.8	14.5	23.3	32.2	36.7	43.5	48.8	54.7	61.3	65.3	68.8	72.3
60	0.9	4.8	9.8	13.7	19.4	25.3	29.8	34.4	38.3	42.6	46.8	50.8	52.8	55.2
55	0.7	3.1	5.6	8.5	12.8	17.4	19.6	22.1	24.4	26.6	28.8	30.4	31.7	33.1

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	7,806.60	open	36,573	7,805	3.6	7,812.4	24.2	7805	13.3	14.47	-0.039	0.02840
T	10:00	7,805.83 -0.8	current	164,837	7,800	18.8	7,808.6	28.5	7805	12.3	14.60	-0.008	0.03180
T30	10:30	7,794.88 -10.9	current	218,838	7,800	24.7	7,804.1	24.9	7795	11.3	14.61	0.016	0.03600
E	11:00	7,789.89 -5.0	current	174,927	7,790	22.1	7,798.1	30.7	7790	10.5	14.49	0.046	0.04080
E30	11:30	7,783.06 -6.8	current	197,666	7,790	23.7	7,792.9	34.9	7785	11.0	14.55	-0.090	0.04100
N	12:00	7,784.02 +1.0	current	154,600	7,780	22.9	7,787.5	40.4	7785	10.4	14.56	-0.041	0.04620
N30	12:30	7,789.40 +5.4	current	125,106	7,790	19.9	7,789.4	39.5	7790	9.5	14.46	-0.076	0.05380
P1	13:00	7,778.57 -10.8	current	149,609	7,780	22.8	7,787.5	38.8	7780	10.5	14.45	-0.059	0.05260
P130	13:30	7,779.24 +0.7	current	113,236	7,780	22.0	7,784.5	46.4	7780	9.7	14.33	-0.054	0.06170
P2	14:00	7,780.01 +0.8	current	123,561	7,780	25.0	7,783.2	50.6	7780	9.7	14.31	0.035	0.07000
P230	14:30	7,781.27 +1.3	current	143,429	7,780	28.2	7,784.9	50.1	7780	9.5	14.31	0.110	0.08160
P3	15:00	7,783.33 +2.1	current	148,213	7,785	33.2	7,785.2	59.2	7785	9.6	14.35	-0.140	0.09800
P330	15:30	7,784.48 +1.1	current	151,340	7,780	35.4	7,785.5	61.3	7785	10.5	14.33	-0.083	0.12740
C	16:00 Close	7,783.34 -1.1	current	220,797	7,785	67.0	7,784.1	73.9	7785	29.7	14.28	-0.414	0.35720

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.