Volume Rolling · SPXSet

EOD ΔVol Session 2026-08-20 · Exp 2026-08-20 · Spot 7,642.60 · Window 7600–7780 · Last slot C · Generated 2026-08-20 16:15:10 ET · ET · Data: SQLite · spx_intraday_2026-08-20.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

2026-08-20 SPX O 7,690.49 · H 7,699.96 · L 7,639.01 · C 7,641.16 prior C — VIX 16.01 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	7,690.49	7,684.12	7,679.80	7,690.31	7,685.87	7,676.19	7,677.46	·	7,666.53	7,664.72	7,654.97	7,652.08	7,653.20	7,642.60
VIX	15.58	15.82	15.85	15.69	15.75	15.90	15.82	·	15.85	15.80	15.99	16.09	16.06	16.00
ATM	27.80	26.90	24.10	21.55	19.80	17.60	16.10	·	13.80	11.65	11.90	10.40	7.50	2.23
IV	16.6	16.8	15.7	14.5	14.1	13.4	13.1	·	13.2	12.6	14.7	15.4	16.1	40.1
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	1C	1P	½	2	½	3	½	C
80	0.4	0.6	0.6	0.4	0.4	0.1	0.0	·	·	·	0.2	0.7	0.6	0.1	0.0	0.0
75	0.7	1.0	0.5	0.2	0.5	0.2	0.0	·	·	·	0.5	0.3	1.3	0.2	0.0	0.0
70	0.7	0.9	1.5	0.4	0.7	0.4	0.6	·	·	·	0.7	0.6	0.7	1.0	0.0	0.0
65	0.2	0.9	0.5	0.4	0.4	0.2	0.5	·	·	·	0.3	0.3	0.6	0.4	0.0	0.0
60	1.1	1.9	1.0	0.8	0.7	0.4	0.2	·	·	·	0.3	2.2	0.6	0.5	0.0	0.1
55	0.7	1.4	0.7	1.3	1.0	0.4	0.3	·	·	·	0.5	2.0	0.3	0.3	0.0	0.0
50	1.3	3.1	3.0	1.2	1.7	1.1	0.5	·	·	·	1.1	0.5	0.5	0.6	0.2	0.1
45	0.7	2.7	2.3	0.9	1.9	1.3	0.5	·	·	·	1.7	0.0	0.2	0.3	0.0	0.0
40	1.1	8.9	2.2	1.2	2.0	1.1	1.0	·	·	·	1.1	0.2	0.3	0.1	0.3	0.0
35	1.3	9.0	3.4	2.6	3.6	1.8	0.5	·	·	·	1.0	0.4	0.2	0.1	0.6	0.0
30	2.0	7.5	5.7	4.2	7.0	1.8	1.0	·	·	·	2.2	0.6	0.3	0.5	0.3	0.1
25	2.7	6.5	6.9	4.8	6.3	2.3	0.8	·	·	·	4.3	0.9	0.6	0.2	0.4	0.1
20	1.6	9.2	9.6	6.1	9.2	3.7	1.7	·	·	·	5.7	0.9	1.3	0.4	0.7	0.1
15	1.8	6.5	9.4	5.4	8.3	4.6	1.8	·	·	·	5.7	0.9	1.2	0.4	0.9	0.1
10	2.2	8.2	14.7	9.9	12.7	5.3	2.8	·	·	·	9.1	1.6	1.6	0.4	0.5	0.3
05	1.0	5.4	13.3	8.0	10.5	6.3	6.7	·	·	·	9.2	1.6	1.6	0.5	0.3	0.3
77	2.2	13.4	20.5	16.3	19.5	12.4	11.4	·	·	·	22.2	4.6	3.7	1.5	1.1	0.5
95	1.0	10.7	9.6	9.9	13.6	8.2	5.5	·	·	·	15.3	3.7	2.9	1.1	0.6	0.3
90	1.4	13.8	12.1	13.1	16.2	9.0	7.2	·	·	·	22.1	7.2	3.9	0.9	1.0	0.8
85	1.7	9.9	13.2	12.2	14.1	9.9	6.3	·	·	·	28.4	6.8	6.7	2.6	2.1	0.9
80	2.1	8.8	19.1	12.6	16.5	15.4	11.2	·	·	·	35.5	15.4	10.9	3.5	3.3	2.3
75	1.1	5.9	12.6	6.5	10.1	15.3	12.1	·	·	·	30.5	15.3	13.2	4.8	4.2	3.4
70	1.1	6.1	10.9	6.7	9.9	12.6	10.4	·	·	·	30.1	16.4	17.1	8.0	8.7	7.4
65	0.8	4.7	6.3	7.9	10.3	8.1	5.3	·	·	·	21.7	23.5	18.0	11.6	12.6	12.9
60	1.2	6.3	7.7	5.8	8.4	7.5	6.3	·	·	·	17.1	18.2	28.7	16.9	25.3	28.1
55	0.8	4.9	6.7	6.9	5.2	4.9	4.1	·	·	·	12.2	13.3	26.2	18.3	23.9	43.4
50	1.6	7.5	9.6	6.6	8.9	7.5	5.0	·	·	·	14.9	14.7	32.5	21.3	31.3	68.1
45	0.8	4.0	5.6	3.4	3.7	3.7	2.0	·	·	·	7.4	6.8	18.7	11.3	15.4	54.8
40	1.2	8.0	6.9	3.7	3.7	3.4	2.6	·	·	·	7.2	7.1	19.4	10.3	10.3	38.4
35	1.1	8.2	4.4	2.4	2.7	2.8	1.9	·	·	·	4.0	2.6	11.3	5.3	5.3	12.6
30	1.0	6.4	4.5	2.4	3.0	2.7	1.4	·	·	·	3.7	2.4	10.1	5.1	3.4	6.5
25	1.9	4.4	4.0	1.7	1.6	1.6	1.0	·	·	·	2.1	1.5	6.5	3.4	2.3	3.2
20	1.5	4.7	3.2	2.1	2.0	1.4	1.7	·	·	·	3.0	1.5	4.1	1.1	1.2	2.2
15	1.1	2.6	2.7	1.0	1.0	0.8	0.7	·	·	·	2.5	0.9	3.0	1.4	0.6	0.7
10	0.7	2.3	2.6	1.1	0.9	0.6	0.8	·	·	·	1.4	0.4	1.9	0.7	0.8	0.7
05	0.8	1.7	2.2	1.4	0.4	0.6	0.4	·	·	·	1.6	0.6	1.5	0.3	0.7	0.3
76	1.2	3.6	3.3	2.2	1.2	1.1	0.5	·	·	·	1.3	1.0	2.8	0.7	0.9	0.2

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	1C	1P	½	2	½	3	½	C
80	0.4	1.1	1.7	2.1	2.6	2.7	2.8	·	·	·	3.1	3.9	4.6	4.7	4.7	4.8
75	0.7	1.7	2.2	2.5	3.0	3.2	3.2	·	·	·	3.7	4.1	5.4	5.6	5.6	5.7
70	0.7	1.7	3.2	3.6	4.4	4.9	5.5	·	·	·	6.2	6.8	7.6	8.6	8.6	8.7
65	0.2	1.2	1.8	2.2	2.6	2.9	3.4	·	·	·	3.8	4.1	4.7	5.2	5.2	5.3
60	1.1	3.1	4.1	4.9	5.7	6.1	6.4	·	·	·	6.8	9.0	9.7	10.3	10.3	10.4
55	0.7	2.2	3.0	4.3	5.4	5.9	6.2	·	·	·	6.7	8.8	9.2	9.6	9.6	9.6
50	1.3	4.5	7.5	8.7	10.5	11.7	12.2	·	·	·	13.4	13.9	14.5	15.1	15.3	15.5
45	0.7	3.5	5.8	6.7	8.6	10.0	10.5	·	·	·	12.2	12.3	12.6	12.9	13.0	13.1
40	1.1	10.0	12.3	13.5	15.6	16.7	17.8	·	·	·	18.9	19.2	19.5	19.7	20.1	20.1
35	1.3	10.4	13.9	16.5	20.2	22.1	22.6	·	·	·	23.7	24.2	24.4	24.5	25.2	25.2
30	2.0	9.6	15.3	19.5	26.6	28.5	29.6	·	·	·	31.8	32.4	32.8	33.3	33.7	33.8
25	2.7	9.3	16.2	21.1	27.4	29.7	30.6	·	·	·	34.9	35.9	36.6	36.8	37.3	37.4
20	1.6	10.8	20.5	26.6	35.9	39.6	41.4	·	·	·	47.2	48.1	49.4	49.9	50.6	50.8
15	1.8	8.3	17.8	23.3	31.6	36.3	38.2	·	·	·	43.9	44.9	46.1	46.6	47.5	47.7
10	2.2	10.5	25.2	35.2	47.9	53.2	56.1	·	·	·	65.2	66.9	68.5	68.9	69.5	69.8
05	1.0	6.5	19.8	27.9	38.5	44.8	51.5	·	·	·	60.7	62.4	64.1	64.6	64.9	65.3
77	2.2	15.7	36.2	52.6	72.1	84.6	96.0	·	·	·	118.3	122.9	126.7	128.2	129.4	129.9
95	1.0	11.7	21.4	31.3	45.0	53.2	58.8	·	·	·	74.2	78.0	80.9	82.0	82.7	83.0
90	1.4	15.2	27.3	40.5	56.8	65.9	73.1	·	·	·	95.3	102.5	106.4	107.3	108.4	109.3
85	1.7	11.7	25.0	37.2	51.3	61.3	67.6	·	·	·	96.1	103.0	109.7	112.4	114.5	115.5
80	2.1	10.9	30.1	42.7	59.3	74.8	86.0	·	·	·	121.6	137.1	148.0	151.6	155.0	157.3
75	1.1	7.1	19.7	26.3	36.4	51.7	63.9	·	·	·	94.4	109.8	123.0	127.9	132.2	135.7
70	1.1	7.2	18.2	25.0	34.9	47.6	58.0	·	·	·	88.2	104.6	121.8	129.9	138.7	146.1
65	0.8	5.6	12.0	19.9	30.3	38.4	43.7	·	·	·	65.5	89.1	107.1	118.7	131.4	144.3
60	1.2	7.5	15.3	21.2	29.6	37.1	43.4	·	·	·	60.6	78.9	107.6	124.6	149.9	178.0
55	0.8	5.7	12.5	19.4	24.7	29.6	33.8	·	·	·	46.0	59.4	85.6	104.0	127.9	171.3
50	1.6	9.2	18.8	25.4	34.4	41.9	47.0	·	·	·	62.0	76.7	109.2	130.6	161.9	230.1
45	0.8	4.9	10.5	13.9	17.7	21.4	23.5	·	·	·	30.9	37.7	56.5	67.8	83.3	138.1
40	1.2	9.2	16.2	19.9	23.7	27.1	29.7	·	·	·	37.0	44.2	63.7	74.0	84.3	122.8
35	1.1	9.3	13.8	16.2	19.0	21.9	23.9	·	·	·	27.9	30.6	41.9	47.2	52.6	65.3
30	1.0	7.5	12.0	14.5	17.6	20.3	21.7	·	·	·	25.4	27.9	38.1	43.2	46.7	53.3
25	1.9	6.4	10.4	12.2	13.9	15.6	16.6	·	·	·	18.8	20.4	26.9	30.3	32.7	35.9
20	1.5	6.2	9.5	11.6	13.7	15.2	17.0	·	·	·	20.0	21.6	25.7	26.9	28.2	30.5
15	1.1	3.8	6.5	7.5	8.6	9.5	10.2	·	·	·	12.8	13.7	16.8	18.3	18.9	19.7
10	0.7	3.1	5.8	7.0	7.9	8.6	9.5	·	·	·	10.9	11.4	13.3	14.1	15.0	15.7
05	0.8	2.5	4.7	6.2	6.7	7.3	7.7	·	·	·	9.4	10.0	11.5	11.8	12.6	12.9
76	1.2	4.8	8.2	10.4	11.7	12.8	13.4	·	·	·	14.8	15.8	18.6	19.4	20.3	20.6

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	7,690.49	open	47,642	7,725	2.7	7,688.1	8.9	7690	16.6	15.58	-0.056	0.02300
T	10:00	7,684.12 -6.4	current	213,866	7,690	13.8	7,685.7	15.3	7685	16.8	15.82	-0.013	0.02360
T30	10:30	7,679.80 -4.3	current	244,716	7,700	20.5	7,683.9	18.4	7680	15.7	15.85	-0.026	0.02640
E	11:00	7,690.31 +10.5	current	175,333	7,700	16.3	7,684.8	20.1	7690	14.5	15.69	-0.001	0.02980
E30	11:30	7,685.87 -4.4	current	221,920	7,700	19.5	7,688.0	21.2	7685	14.1	15.75	0.037	0.03230
N	12:00	7,676.19 -9.7	current	162,459	7,680	15.4	7,680.5	26.8	7675	13.4	15.90	0.041	0.03620
N30	12:30	7,677.46 +1.3	current	118,503	7,675	12.1	7,679.1	28.6	7675	13.1	15.82	0.092	0.03940
P130	13:30	7,666.53 -10.9	current	329,591	7,680	35.5	7,677.7	21.0	7665	13.2	15.85	0.099	0.04620
P2	14:00	7,664.72 -1.8	current	179,613	7,665	23.5	7,670.0	32.5	7665	12.6	15.80	0.029	0.05440
P230	14:30	7,654.97 -9.8	current	256,785	7,650	32.5	7,658.4	34.0	7655	14.7	15.99	0.056	0.05400
P3	15:00	7,652.08 -2.9	current	137,908	7,650	21.3	7,658.1	37.0	7650	15.4	16.09	0.222	0.06060
P330	15:30	7,653.20 +1.1	current	161,199	7,650	31.3	7,656.0	50.0	7655	16.1	16.06	-0.046	0.08500
C	16:00 Close	7,642.60 -10.6	current	290,958	7,650	68.1	7,650.1	55.5	7645	40.1	16.00	-0.110	0.29610

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.