Volume Rolling · SPXSet

EOD ΔVol Session 2026-08-17 · Exp 2026-08-17 · Spot 7,745.06 · Window 7700–7890 · Last slot C · Generated 2026-08-17 16:45:08 ET · ET · Data: SQLite · spx_intraday_2026-08-17.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

2026-08-17 SPX O 7,790.68 · H 7,790.68 · L 7,744.88 · C 7,745.06 prior C — VIX 15.19 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	7,790.68	7,773.80	7,773.23	7,772.49	7,778.45	7,775.06	7,773.52	7,768.11	7,755.86	7,754.94	7,756.06	7,756.19	7,752.03	7,745.06
VIX	15.06	14.98	15.03	14.96	14.94	15.02	15.03	15.20	15.46	15.16	15.10	15.19	15.21	15.19
ATM	22.60	16.25	14.15	13.05	11.30	9.60	8.80	9.20	12.75	9.80	8.00	6.28	5.65	1.12
IV	12.3	10.0	9.1	8.7	8.0	7.3	7.0	8.0	12.0	10.5	9.9	9.2	11.2	202.5
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
90	1.4	0.0	1.0	0.5	0.0	0.0	0.5	0.1	0.0	0.0	0.0	0	0	0.0
85	0.5	0.0	0.4	0.0	0.0	0.0	0.0	0.1	0.0	0.0	0.0	0.0	0.0	0.0
80	0.1	0.2	0.4	0.2	0.0	0.0	0.1	0.2	0.6	0.1	0.0	0.0	0.0	0.0
75	0.2	0.4	0.1	0.0	0.0	0.0	0.0	0.4	1.2	0.3	0.0	0.0	0	0.0
70	0.1	0.6	0.2	0.1	0.0	0.0	0.0	0.2	0.5	0.1	0.0	0.0	0	0.0
65	0.1	0.9	0.1	0.0	0.2	0.1	0.0	0.1	0.4	0.5	0.0	0.0	0.0	0
60	0.7	0.6	1.0	0.1	0.5	0.2	0.0	0.1	0.3	0.1	0.2	0.0	0.0	0.0
55	0.5	0.3	0.7	0.4	0.2	0.0	0.0	0.1	0.1	0.2	0.5	0.0	0.0	0.0
50	0.6	1.1	0.7	0.7	0.3	0.5	0.3	0.9	0.2	0.5	1.2	0.5	0.0	0.0
45	0.4	0.6	0.5	0.4	0.2	0.7	0.5	0.4	0.0	0.1	0.2	0.3	0.0	0.0
40	1.2	1.6	0.4	0.4	0.2	0.3	0.1	0.6	0.1	0.4	0.4	0.3	0.0	0.0
35	1.3	1.1	1.3	0.5	0.5	0.2	0.2	0.2	0.3	0.6	0.1	0.2	0.0	0.0
30	0.9	1.8	0.9	1.9	0.7	0.8	0.5	0.2	0.2	0.5	0.1	0.3	0.0	0.0
25	1.0	4.5	2.5	0.6	0.9	0.8	0.3	1.3	0.6	0.3	0.0	0.5	0.0	0.0
20	1.3	5.8	1.7	1.1	0.9	1.5	0.6	0.9	1.1	0.3	0.3	0.4	0.0	0.0
15	1.3	2.8	3.0	1.3	0.9	0.7	0.3	1.2	0.8	0.4	0.1	0.2	0.0	0.0
10	1.9	6.7	3.4	2.4	1.1	1.5	0.8	0.7	1.1	0.4	0.3	0.3	0.0	0.1
05	1.9	6.6	4.1	1.9	1.8	1.7	0.9	1.1	1.4	0.6	0.3	0.6	0.5	0.2
78	2.1	11.7	10.7	6.3	4.9	5.7	2.7	3.8	2.7	3.0	1.3	0.9	0.4	0.3
95	1.1	6.7	7.0	5.7	5.7	5.6	2.6	2.5	1.5	1.1	1.7	0.3	0.4	0.3
90	2.4	8.5	12.0	9.3	9.1	7.0	5.7	6.0	4.3	1.6	0.9	1.0	0.5	0.4
85	3.7	10.2	12.7	13.7	13.3	10.9	7.8	7.8	7.1	3.9	3.8	3.5	1.4	0.3
80	2.7	17.6	15.6	17.6	20.7	21.0	14.1	13.1	10.3	5.4	3.4	4.1	1.6	0.7
75	1.9	16.5	21.1	20.4	21.4	23.0	17.3	20.4	20.1	10.0	6.8	4.3	3.9	1.8
70	1.8	10.7	19.1	18.4	14.4	25.0	15.9	24.9	33.0	15.7	8.6	7.6	5.5	4.3
65	1.3	7.4	8.9	9.4	8.4	13.0	7.0	14.6	32.2	20.1	14.7	13.0	9.5	7.9
60	1.8	8.8	9.4	8.5	8.2	10.9	5.5	9.9	33.0	32.8	26.9	26.8	24.6	21.5
55	2.1	6.7	7.0	5.3	4.7	6.4	2.9	5.7	23.6	28.5	28.1	26.9	38.0	58.1
50	2.5	8.2	7.2	5.0	6.0	4.6	3.3	6.6	19.1	31.1	21.8	20.1	29.1	96.3
45	1.6	3.7	3.2	2.5	2.5	3.0	1.3	2.1	10.9	13.5	9.1	7.8	10.6	59.3
40	1.6	5.3	4.3	2.8	2.7	2.8	1.2	2.3	8.5	14.8	6.2	4.9	4.4	17.6
35	0	0	2.4	1.5	0.9	1.6	0.6	1.3	5.0	7.2	3.3	2.8	1.9	6.4
30	0	0	2.2	1.2	1.7	1.3	0.6	0.9	3.8	4.8	2.1	1.9	1.1	4.5
25	0	0	5.2	1.5	1.5	1.0	0.4	0.9	4.4	3.7	2.1	1.7	1.0	2.5
20	0	0	4.6	1.1	0.9	1.3	0.5	0.7	3.0	2.9	1.7	1.1	0.8	1.5
15	0	0	0.7	0.8	0.6	0.8	0.3	0.4	1.5	1.5	0.6	0.3	0.3	0.6
10	0	0	0.9	0.8	1.4	0.5	0.2	0.2	1.7	1.3	0.4	0.3	0.7	0.8
05	0	0	0.5	0.2	0.3	0.4	0.1	0.2	0.6	0.8	0.2	0.1	0.3	0.4
77	0	0	0.8	0.6	0.4	0.4	0.2	0.5	1.6	2.0	0.8	0.4	0.3	0.6

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
90	1.4	1.4	2.5	3.0	3.1	3.1	3.6	3.8	3.8	3.8	3.8	3.8	3.8	3.8
85	0.5	0.6	1.1	1.2	1.3	1.4	1.4	1.6	1.6	1.6	1.6	1.6	1.6	1.6
80	0.1	0.3	0.8	1.0	1.1	1.2	1.3	1.5	2.1	2.3	2.3	2.3	2.3	2.3
75	0.2	0.6	0.8	0.9	1.0	1.0	1.1	1.5	2.8	3.2	3.2	3.2	3.2	3.2
70	0.1	0.7	0.9	1.0	1.1	1.2	1.2	1.4	1.9	2.1	2.1	2.1	2.1	2.1
65	0.1	1.0	1.2	1.3	1.5	1.7	1.7	1.9	2.3	2.8	2.9	2.9	2.9	2.9
60	0.7	1.3	2.3	2.5	3.0	3.3	3.3	3.5	3.8	4.0	4.3	4.4	4.4	4.4
55	0.5	0.8	1.6	2.0	2.3	2.3	2.4	2.6	2.7	3.0	3.6	3.6	3.6	3.7
50	0.6	1.8	2.5	3.2	3.6	4.2	4.5	5.4	5.7	6.2	7.5	8.1	8.1	8.2
45	0.4	1.0	1.6	2.0	2.3	3.1	3.7	4.1	4.2	4.3	4.6	4.9	4.9	4.9
40	1.2	2.9	3.3	3.8	4.0	4.4	4.5	5.2	5.3	5.8	6.2	6.5	6.6	6.6
35	1.3	2.5	3.9	4.4	5.0	5.3	5.5	5.8	6.1	6.8	7.0	7.2	7.3	7.3
30	0.9	2.7	3.7	5.7	6.4	7.2	7.8	8.1	8.3	8.9	9.0	9.3	9.4	9.4
25	1.0	5.5	8.1	8.7	9.7	10.5	10.8	12.2	12.8	13.1	13.2	13.8	13.8	13.9
20	1.3	7.1	8.8	10.0	10.9	12.5	13.1	14.0	15.1	15.5	15.8	16.3	16.3	16.4
15	1.3	4.2	7.3	8.6	9.6	10.3	10.6	11.9	12.8	13.2	13.4	13.7	13.7	13.8
10	1.9	8.6	12.0	14.5	15.6	17.1	18.0	18.7	19.8	20.3	20.6	20.9	21.0	21.1
05	1.9	8.6	12.7	14.7	16.6	18.3	19.3	20.5	21.9	22.5	22.9	23.6	24.1	24.3
78	2.1	13.9	24.6	31.0	36.0	41.7	44.4	48.3	51.0	54.1	55.4	56.3	56.8	57.1
95	1.1	7.9	15.0	20.8	26.6	32.2	34.9	37.5	39.0	40.2	41.9	42.3	42.7	43.0
90	2.4	10.9	23.0	32.3	41.5	48.5	54.3	60.4	64.7	66.3	67.3	68.3	68.9	69.4
85	3.7	13.9	26.7	40.4	53.8	64.7	72.6	80.4	87.6	91.6	95.4	98.9	100.4	100.8
80	2.7	20.4	36.0	53.6	74.3	95.4	109.5	122.6	132.9	138.4	141.9	146.0	147.7	148.5
75	1.9	18.4	39.6	60.1	81.5	104.5	121.9	142.3	162.5	172.5	179.4	183.8	187.7	189.6
70	1.8	12.6	31.8	50.2	64.7	89.7	105.7	130.7	163.7	179.4	188.0	195.7	201.2	205.5
65	1.3	8.8	17.7	27.1	35.6	48.6	55.7	70.4	102.6	122.8	137.5	150.6	160.2	168.1
60	1.8	10.6	20.1	28.6	36.9	47.8	53.4	63.4	96.4	129.3	156.2	183.1	207.7	229.2
55	2.1	8.8	15.9	21.3	26.0	32.5	35.5	41.2	64.9	93.5	121.6	148.5	186.6	244.8
50	2.5	10.8	18.0	23.0	29.1	33.8	37.2	43.8	63.0	94.2	116.0	136.2	165.4	261.7
45	1.6	5.3	8.6	11.1	13.7	16.7	18.1	20.3	31.2	44.8	54.0	61.8	72.5	131.8
40	1.6	7.0	11.4	14.2	16.9	19.7	20.9	23.3	31.8	46.7	52.9	57.9	62.3	80.0
35	0	0	6.4	8.0	9.0	10.7	11.3	12.7	17.7	25.0	28.3	31.1	33.0	39.5
30	0	0	6.1	7.3	9.0	10.3	11.0	12.0	15.8	20.7	22.8	24.8	25.9	30.5
25	0	0	9.2	10.7	12.3	13.3	13.8	14.7	19.1	22.9	25.1	26.8	27.8	30.4
20	0	0	8.7	9.8	10.8	12.1	12.6	13.4	16.4	19.4	21.1	22.2	23.0	24.6
15	0	0	3.0	3.8	4.5	5.3	5.6	6.1	7.7	9.2	9.9	10.2	10.5	11.1
10	0	0	3.3	4.1	5.6	6.1	6.4	6.7	8.4	9.7	10.2	10.5	11.3	12.2
05	0	0	2.0	2.3	2.6	3.1	3.2	3.4	4.0	4.8	5.1	5.2	5.5	6.0
77	0	0	3.7	4.3	4.7	5.2	5.5	6.0	7.6	9.7	10.6	11.0	11.4	12.0

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	7,790.68	open	43,457	7,785	3.7	7,795.2	16.8	7790	12.3	15.06	-0.338	0.02820
T	10:00	7,773.80 -16.9	current	159,188	7,780	17.6	7,785.2	28.2	7775	10.0	14.98	-0.025	0.03940
T30	10:30	7,773.23 -0.6	current	179,893	7,775	21.1	7,776.3	31.1	7775	9.1	15.03	-0.074	0.04480
E	11:00	7,772.49 -0.7	current	147,197	7,775	20.4	7,776.4	32.9	7770	8.7	14.96	0.121	0.04860
E30	11:30	7,778.45 +6.0	current	140,239	7,775	21.4	7,774.7	39.6	7780	8.0	14.94	-0.083	0.05640
N	12:00	7,775.06 -3.4	current	157,076	7,770	25.0	7,773.8	44.0	7775	7.3	15.02	-0.036	0.06560
N30	12:30	7,773.52 -1.5	current	97,140	7,775	17.3	7,775.6	48.8	7775	7.0	15.03	-0.085	0.07320
P1	13:00	7,768.11 -5.4	current	135,712	7,770	24.9	7,773.7	44.3	7770	8.0	15.20	-0.153	0.06840
P130	13:30	7,755.86 -12.3	current	238,187	7,760	33.0	7,763.1	31.9	7755	12.0	15.46	0.090	0.05020
P2	14:00	7,754.94 -0.9	current	213,204	7,760	32.8	7,757.6	43.5	7755	10.5	15.16	0.021	0.06500
P230	14:30	7,756.06 +1.1	current	149,942	7,755	28.1	7,759.3	51.3	7755	9.9	15.10	0.099	0.07860
P3	15:00	7,756.19 +0.1	current	135,040	7,755	26.9	7,759.2	54.8	7755	9.2	15.19	0.133	0.10220
P330	15:30	7,752.03 -4.2	current	138,225	7,755	38.0	7,755.4	56.4	7750	11.2	15.21	0.349	0.11050
C	16:00 Close	7,745.06 -7.0	current	288,043	7,750	96.3	7,750.0	60.2	7745	202.5	15.19	0.930	0.08480

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.