Volume Rolling · SPXSet

EOD ΔVol Session 2026-08-19 · Exp 2026-08-19 · Spot 7,706.53 · Window 7640–7855 · Last slot C · Generated 2026-08-19 16:15:10 ET · ET · Data: SQLite · spx_intraday_2026-08-19.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

2026-08-19 SPX O 7,716.74 · H 7,743.93 · L 7,700.07 · C 7,707.98 prior C — VIX 14.89 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	7,716.74	7,720.52	7,719.44	7,741.79	7,731.60	7,725.62	7,727.69	7,717.19	7,715.71	7,714.38	7,715.65	7,715.18	7,715.97	7,706.53
VIX	15.37	15.29	15.27	15.13	15.18	15.16	15.15	15.25	15.22	15.21	15.11	15.03	14.96	14.86
ATM	25.45	24.90	21.55	18.70	17.20	15.70	15.60	16.20	14.10	12.60	10.20	8.25	6.32	2.88
IV	15.0	15.4	13.9	12.5	12.3	11.8	12.5	14.1	13.5	13.5	12.6	12.6	13.3	45.9
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	O	T	½	E	½	N	½	1	½	2	½	3	½	C
55	0.0	0.4	0.0	0.0	0.1	0.3	0.1	0.0	0.0	0.1	0.0	0.0	0	0
50	0.1	0.2	0.0	0.7	0.3	0.1	0.2	0.1	0.2	0.1	0.0	0.0	0	0.0
45	0.2	0.0	0.0	0.5	0.2	0.0	0.3	0.4	0.6	0.4	0.1	0.0	0.0	0.0
40	1.9	0.1	0.8	0.5	0.1	0.0	0.1	0.5	0.3	0.4	0.0	0.0	0.0	0.0
35	0.1	0.7	0.4	0.4	0.2	0.0	0.0	0.1	0.1	0.3	0.0	0.0	0.0	0.0
30	0.0	0.6	0.3	0.2	0.3	0.0	0.0	0.0	0.4	0.4	0.0	0.0	0.0	0.0
25	0.1	0.3	0.0	0.1	0.1	0.1	0.0	0.0	0.0	0.4	0.0	0.0	0.0	0.0
20	0.2	0.5	0.1	0.5	0.3	0.1	0.0	0.1	0.1	0.3	0.1	0.0	0.0	0.0
15	0.1	0.7	0.2	0.3	0.1	0.1	0.2	0.0	0.0	0.2	0.0	0.0	0.0	0.0
10	0.3	0.8	0.4	0.4	0.4	0.1	0.2	0.0	0.3	0.1	0.4	0.6	0.0	0.0
05	0.2	0.5	0.2	0.3	0.5	0.3	0.1	0.1	0.0	0.0	1.1	0.2	0.0	0.0
78	0.8	1.6	0.7	1.1	1.7	0.2	0.6	0.9	0.2	1.0	0.5	0.1	0.0	0.0
95	0.3	1.3	0.4	0.6	0.6	0.2	0.3	0.2	0.3	0.1	0.2	0.4	0.0	0.0
90	0.7	1.2	0.7	1.1	2.1	0.5	0.4	0.3	0.8	0.3	0.2	0.5	0.0	0.0
85	0.6	1.5	0.6	1.3	1.9	0.9	0.9	0.2	0.2	0.2	0.3	0.2	0.0	0.0
80	2.1	2.7	1.5	1.8	3.3	1.3	0.9	0.5	0.4	0.2	0.7	0.4	0.1	0.0
75	2.0	5.6	1.3	4.5	2.6	2.2	1.2	1.2	0.5	0.3	0.6	0.7	0.8	0.0
70	1.7	8.1	2.3	4.2	4.7	2.5	1.7	1.4	1.1	0.3	1.3	0.5	0.8	0.1
65	1.2	4.7	3.1	5.1	6.2	2.7	2.9	2.5	1.3	0.8	1.3	0.4	0.5	0.1
60	2.0	9.6	7.7	9.4	9.7	6.7	6.6	2.9	4.8	1.4	2.4	1.0	0.6	0.2
55	1.4	8.0	4.6	8.3	9.8	5.6	8.3	4.7	2.1	1.5	2.1	1.4	1.0	0.4
50	2.4	13.9	12.6	17.7	17.1	13.9	14.2	7.5	6.7	2.8	5.3	2.0	2.1	1.6
45	1.7	10.3	7.8	11.9	13.8	8.2	12.3	8.0	4.0	2.3	3.8	1.9	1.7	0.7
40	1.6	13.3	8.9	15.5	21.8	12.6	18.8	9.3	6.6	6.4	9.1	3.8	5.0	6.2
35	1.8	14.5	9.9	17.7	18.8	12.2	19.2	11.2	8.4	6.1	10.1	8.4	4.9	5.7
30	2.1	15.3	9.3	22.1	14.3	18.2	17.9	14.2	10.5	11.9	17.9	13.0	7.9	13.6
25	3.7	15.3	11.3	16.1	11.8	21.4	12.2	18.6	12.7	10.4	20.0	16.5	17.6	23.6
20	2.8	17.6	17.3	15.7	12.5	19.0	11.9	20.9	19.4	12.9	23.2	24.1	32.1	40.2
15	1.6	13.6	16.2	11.3	8.5	10.7	7.6	14.5	20.8	15.8	23.1	20.4	27.7	47.3
10	1.3	13.2	11.3	9.9	6.5	8.6	7.6	11.9	16.8	12.5	26.8	17.2	16.0	62.7
05	1.2	9.6	8.2	8.2	4.0	6.2	4.8	8.9	10.0	6.8	13.3	8.0	7.6	58.0
77	2.0	14.8	11.3	12.7	7.7	8.9	7.2	11.4	13.3	8.9	16.9	8.5	7.6	50.2
95	1.8	8.1	6.5	6.0	4.1	5.2	3.0	5.3	5.8	4.4	7.4	2.8	2.7	13.6
90	1.5	10.1	8.0	9.3	4.1	5.4	3.3	4.6	5.7	3.9	5.8	2.2	2.4	8.2
85	1.2	8.6	6.9	5.2	1.8	4.0	2.0	2.9	6.0	1.7	3.2	1.3	1.3	3.9
80	1.6	11.9	5.9	5.1	2.7	3.5	1.7	2.9	5.1	1.6	3.6	1.5	1.3	1.6
75	1.3	8.1	5.9	4.1	1.4	2.8	2.4	1.4	1.6	1.2	2.7	0.7	0.6	1.7
70	0	0	0	0	0	0	0	0	0	0.9	1.4	0.9	0.6	0.8
65	0	0	0	0	0	0	0	0	0	0.5	0.7	0.2	0.6	0.7
60	0	0	0	0	0	0	0	0	0	0.8	1.1	0.6	0.5	0.5
55	0	0	0	0	0	0	0	0	0	0.1	0.5	0.2	0.2	0.1
50	0	0	0	0	0	0	0	0	0	0.2	1.2	0.2	0.3	0.2
45	0	0	0	0	0	0	0	0	0	0.2	0.7	0.0	0.0	0.0
40	0	0	0	0	0	0	0	0	0	0.3	0.4	0.0	0.2	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	O	T	½	E	½	N	½	1	½	2	½	3	½	C
55	0.0	0.4	0.4	0.5	0.6	0.9	1.1	1.1	1.1	1.2	1.2	1.3	1.3	1.3
50	0.1	0.3	0.4	1.1	1.5	1.6	1.8	2.0	2.3	2.4	2.4	2.4	2.4	2.5
45	0.2	0.2	0.3	0.8	1.1	1.2	1.5	2.0	2.6	3.1	3.2	3.2	3.2	3.2
40	1.9	2.0	2.9	3.4	3.5	3.6	3.8	4.3	4.6	5.1	5.1	5.1	5.1	5.1
35	0.1	0.9	1.4	1.8	2.1	2.1	2.2	2.3	2.5	2.9	3.0	3.0	3.0	3.0
30	0.0	0.7	1.0	1.2	1.6	1.6	1.7	1.7	2.2	2.6	2.7	2.7	2.7	2.7
25	0.1	0.5	0.5	0.6	0.8	1.0	1.1	1.2	1.2	1.7	1.8	1.8	1.9	1.9
20	0.2	0.8	1.0	1.5	1.8	2.0	2.0	2.1	2.2	2.6	2.7	2.8	2.8	2.8
15	0.1	0.9	1.1	1.5	1.6	1.7	2.0	2.1	2.2	2.4	2.5	2.5	2.5	2.5
10	0.3	1.1	1.6	2.0	2.5	2.6	2.9	2.9	3.2	3.4	3.8	4.4	4.5	4.5
05	0.2	0.8	1.1	1.5	2.1	2.4	2.6	2.7	2.7	2.8	4.0	4.2	4.2	4.2
78	0.8	2.4	3.2	4.3	6.0	6.2	6.8	7.8	8.0	9.1	9.6	9.8	9.8	9.9
95	0.3	1.6	2.1	2.8	3.4	3.6	4.0	4.3	4.6	4.8	5.0	5.5	5.5	5.5
90	0.7	1.9	2.7	3.8	6.0	6.5	7.0	7.4	8.2	8.5	8.7	9.2	9.3	9.3
85	0.6	2.2	2.9	4.3	6.2	7.2	8.1	8.3	8.6	8.9	9.3	9.5	9.5	9.5
80	2.1	4.9	6.5	8.4	11.7	13.1	14.0	14.6	15.0	15.3	16.0	16.5	16.6	16.6
75	2.0	7.7	9.0	13.6	16.3	18.5	19.8	21.0	21.6	21.9	22.5	23.3	24.2	24.2
70	1.7	9.8	12.2	16.4	21.1	23.6	25.4	26.8	27.9	28.3	29.7	30.2	31.0	31.2
65	1.2	6.0	9.1	14.3	20.5	23.2	26.2	28.7	30.1	31.0	32.3	32.7	33.3	33.4
60	2.0	11.7	19.4	28.8	38.5	45.3	52.0	55.0	59.8	61.2	63.7	64.7	65.4	65.6
55	1.4	9.4	14.1	22.4	32.3	37.9	46.2	50.9	53.0	54.5	56.7	58.1	59.1	59.6
50	2.4	16.3	29.0	46.7	63.9	77.8	92.1	99.7	106.4	109.3	114.6	116.7	118.9	120.6
45	1.7	12.0	19.9	31.8	45.6	53.9	66.2	74.3	78.4	80.7	84.6	86.6	88.4	89.1
40	1.6	14.9	23.9	39.5	61.3	74.0	92.9	102.2	108.8	115.3	124.5	128.4	133.5	139.7
35	1.8	16.3	26.3	44.0	62.9	75.1	94.3	105.6	114.1	120.2	130.4	138.8	143.8	149.5
30	2.1	17.4	26.8	48.9	63.2	81.4	99.4	113.6	124.1	136.1	154.0	167.1	175.0	188.7
25	3.7	19.1	30.4	46.6	58.4	79.9	92.2	110.9	123.6	134.0	154.0	170.6	188.3	211.9
20	2.8	20.4	37.7	53.5	66.1	85.2	97.2	118.1	137.5	150.5	173.7	197.8	229.9	270.2
15	1.6	15.3	31.6	42.9	51.5	62.2	69.8	84.4	105.2	121.1	144.2	164.6	192.3	239.7
10	1.3	14.6	25.9	35.8	42.3	51.0	58.6	70.6	87.5	100.0	126.9	144.2	160.3	223.1
05	1.2	10.8	19.1	27.3	31.4	37.6	42.5	51.5	61.6	68.4	81.8	89.8	97.4	155.5
77	2.0	16.8	28.1	40.8	48.6	57.5	64.7	76.1	89.5	98.4	115.4	123.9	131.5	181.8
95	1.8	9.9	16.5	22.6	26.8	32.1	35.2	40.5	46.4	50.8	58.2	61.0	63.8	77.5
90	1.5	11.7	19.7	29.0	33.2	38.6	41.9	46.6	52.3	56.3	62.2	64.4	66.8	75.1
85	1.2	9.9	16.8	22.0	23.9	27.9	30.0	32.9	39.0	40.7	43.9	45.2	46.6	50.5
80	1.6	13.6	19.5	24.7	27.4	31.0	32.8	35.7	40.9	42.6	46.2	47.8	49.1	50.7
75	1.3	9.5	15.5	19.6	21.0	23.9	26.3	27.8	29.4	30.6	33.3	34.0	34.7	36.4
70	0	0	0	0	0	0	0	0	0	29.2	30.7	31.6	32.2	33.0
65	0	0	0	0	0	0	0	0	0	19.6	20.3	20.6	21.2	22.0
60	0	0	0	0	0	0	0	0	0	21.6	22.8	23.5	24.1	24.6
55	0	0	0	0	0	0	0	0	0	14.6	15.2	15.5	15.8	16.0
50	0	0	0	0	0	0	0	0	0	19.1	20.4	20.6	20.9	21.2
45	0	0	0	0	0	0	0	0	0	10.7	11.5	11.5	11.6	11.6
40	0	0	0	0	0	0	0	0	0	9.5	10.0	10.1	10.3	10.3

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	7,716.74	open	47,344	7,725	3.7	7,740.9	12.4	7715	15.0	15.37	0.113	0.02520
T	10:00	7,720.52 +3.8	current	249,161	7,720	17.6	7,727.4	18.7	7720	15.4	15.29	0.051	0.02560
T30	10:30	7,719.44 -1.1	current	184,693	7,720	17.3	7,724.2	24.4	7720	13.9	15.27	0.007	0.02960
E	11:00	7,741.79 +22.4	current	231,404	7,730	22.1	7,730.5	19.5	7740	12.5	15.13	0.043	0.03440
E30	11:30	7,731.60 -10.2	current	197,610	7,740	21.8	7,737.1	22.8	7730	12.3	15.18	0.033	0.03700
N	12:00	7,725.62 -6.0	current	186,645	7,725	21.4	7,727.9	31.5	7725	11.8	15.16	0.008	0.04080
N30	12:30	7,727.69 +2.1	current	173,045	7,735	19.2	7,732.4	28.6	7730	12.5	15.15	-0.083	0.04100
P1	13:00	7,717.19 -10.5	current	171,642	7,720	20.9	7,724.8	27.7	7715	14.1	15.25	0.063	0.03940
P130	13:30	7,715.71 -1.5	current	168,811	7,715	20.8	7,720.5	33.9	7715	13.5	15.22	0.045	0.04560
P2	14:00	7,714.38 -1.3	current	123,462	7,715	15.8	7,721.2	33.4	7715	13.5	15.21	-0.054	0.05060
P230	14:30	7,715.65 +1.3	current	211,652	7,710	26.8	7,717.6	34.6	7715	12.6	15.11	0.018	0.06240
P3	15:00	7,715.18 -0.5	current	142,550	7,720	24.1	7,719.6	43.3	7715	12.6	15.03	0.029	0.07680
P330	15:30	7,715.97 +0.8	current	146,258	7,720	32.1	7,717.7	51.9	7715	13.3	14.96	0.061	0.10180
C	16:00 Close	7,706.53 -9.4	current	343,814	7,710	62.7	7,710.8	49.8	7705	45.9	14.86	0.685	0.16160

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.