Volume Rolling · SPXSet

EOD ΔVol Session 2026-08-21 · Exp 2026-08-21 · Spot 7,675.02 · Window 7625–7805 · Last slot C · Generated 2026-08-21 16:15:09 ET · ET · Data: SQLite · spx_intraday_2026-08-21.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

2026-08-21 SPX O 7,665.68 · H 7,697.11 · L 7,660.06 · C 7,674.37 prior C — VIX 15.13 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	7,665.68	7,665.62	7,665.96	7,676.08	7,690.26	7,691.06	7,683.34	·	7,678.13	7,673.42	7,671.74	7,678.57	7,679.82	7,675.02
VIX	15.47	15.51	15.40	15.28	15.33	15.38	15.31	·	15.30	15.23	15.31	15.24	15.18	15.15
ATM	27.70	22.30	20.30	17.80	15.80	14.80	14.80	·	11.10	9.70	8.70	7.90	6.10	2.25
IV	16.5	14.1	13.2	12.1	11.6	11.3	12.1	·	10.6	10.4	10.8	11.8	13.0	35.2
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
05	0.1	0.0	0.3	0.2	0.3	0.2	0.4	·	·	·	0.4	0.0	0	0	0	0.0
78	0.1	0.6	0.6	0.9	0.7	0.3	0.8	·	·	·	0.6	0.0	0.0	0.0	0.0	0.0
95	0.1	0.3	0.0	0.3	0.2	0.0	0.3	·	·	·	0.9	0.2	0	0	0.0	0.0
90	0.2	1.1	0.0	0.3	0.2	0.0	0.2	·	·	·	0.4	0.2	0.1	0.0	0.0	0.0
85	0.2	0.4	0.1	0.0	0.6	0.0	0.0	·	·	·	0.2	0.1	0.2	0.0	0.0	0.0
80	0.1	1.1	0.2	0.1	0.3	0.1	0.0	·	·	·	0.1	0.1	0.4	0.0	0.0	0.0
75	0.2	0.8	0.6	0.1	1.3	0.0	0.1	·	·	·	0.1	0.4	0.4	0.0	0.0	0.0
70	0.5	1.1	0.8	0.2	0.7	0.2	0.3	·	·	·	0.1	0.2	1.2	0.0	0.0	0.0
65	0.1	0.3	0.1	0.0	0.4	0.2	0.1	·	·	·	0.2	0.2	0.4	0.0	0.0	0.0
60	0.2	0.5	0.7	0.3	0.8	0.4	0.4	·	·	·	0.2	0.5	0.3	0.2	0.1	0.0
55	0.4	1.0	0.5	0.3	0.6	0.1	0.5	·	·	·	0.3	0.4	0.2	0.3	0.4	0.0
50	0.7	1.1	0.5	0.7	1.0	0.4	0.4	·	·	·	1.0	0.1	0.2	1.0	0.3	0.1
45	0.1	0.9	0.1	0.2	0.8	0.6	0.4	·	·	·	0.3	0.2	0.0	0.8	0.2	0.0
40	0.6	1.1	1.5	0.6	2.3	0.9	1.0	·	·	·	0.7	0.0	0.0	0.4	0.2	0.0
35	1.0	1.4	0.9	2.4	2.5	0.9	1.2	·	·	·	0.7	0.2	0.0	0.5	0.3	0.2
30	1.4	2.2	1.2	1.3	3.6	2.1	2.0	·	·	·	1.4	0.4	0.2	0.2	0.6	0.2
25	1.9	7.3	2.4	1.4	4.1	2.3	2.2	·	·	·	2.3	0.7	1.0	0.7	1.3	0.2
20	1.9	8.0	2.6	2.7	5.8	4.3	3.4	·	·	·	3.0	1.8	1.0	1.1	1.3	0.4
15	1.5	3.7	3.8	2.3	6.4	4.4	4.6	·	·	·	4.4	1.1	0.8	0.9	1.2	0.7
10	1.1	3.9	3.8	3.5	11.5	6.7	6.3	·	·	·	7.0	2.4	0.9	1.6	1.8	1.0
05	1.1	4.8	6.0	4.6	13.0	7.5	8.9	·	·	·	9.6	2.2	2.1	2.2	2.1	2.0
77	3.1	11.1	11.3	12.0	28.1	15.2	18.3	·	·	·	21.9	7.0	4.3	5.3	10.7	8.0
95	1.5	5.8	6.9	6.9	20.5	14.7	15.6	·	·	·	14.8	4.7	3.8	4.1	8.2	10.2
90	1.4	8.4	9.0	9.8	27.3	13.9	20.0	·	·	·	22.7	9.6	7.2	8.2	16.1	27.5
85	1.4	6.8	8.6	9.9	27.2	11.0	21.9	·	·	·	29.4	12.2	11.4	14.1	29.0	57.5
80	2.2	10.3	13.0	12.6	37.0	8.2	25.3	·	·	·	33.1	16.7	17.6	27.8	37.8	80.2
75	2.9	10.4	11.7	13.6	30.1	5.9	13.8	·	·	·	24.2	20.3	21.6	30.5	31.3	62.4
70	2.5	15.4	19.0	18.2	27.2	5.5	17.1	·	·	·	18.7	15.0	20.8	27.3	20.6	26.6
65	2.1	13.3	16.3	16.3	16.2	3.8	11.3	·	·	·	13.0	9.4	11.3	17.3	8.6	8.1
60	1.4	9.8	12.5	16.1	16.2	3.5	10.2	·	·	·	11.6	7.9	8.6	10.9	5.2	5.8
55	1.2	6.6	6.5	7.5	10.1	1.9	6.6	·	·	·	6.4	3.3	3.0	4.3	2.0	2.1
50	1.5	10.8	10.1	10.9	15.8	2.3	8.1	·	·	·	6.5	3.2	4.1	4.5	2.7	1.8
45	1.2	5.2	6.2	6.1	7.6	1.4	3.0	·	·	·	3.4	1.4	1.9	2.7	1.2	0.8
40	1.6	8.6	8.6	8.0	11.0	1.3	4.7	·	·	·	2.6	1.3	1.3	1.9	0.7	0.3
35	1.8	5.0	4.8	4.5	5.0	0.8	2.8	·	·	·	2.3	1.2	0.7	1.1	0.5	0.8
30	1.3	6.5	5.6	5.5	5.7	1.0	1.5	·	·	·	1.8	0.6	0.7	1.4	1.0	0.1
25	1.0	4.3	4.2	3.2	4.1	1.0	1.2	·	·	·	1.3	0.8	0.5	0.8	0.3	0.7

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
05	0.1	0.1	0.4	0.7	1.0	1.2	1.7	·	·	·	2.1	2.2	2.2	2.2	2.2	2.2
78	0.1	0.8	1.4	2.3	3.0	3.4	4.3	·	·	·	4.9	5.0	5.0	5.0	5.0	5.0
95	0.1	0.5	0.5	0.9	1.1	1.1	1.5	·	·	·	2.4	2.6	2.6	2.6	2.6	2.6
90	0.2	1.3	1.4	1.7	2.0	2.0	2.3	·	·	·	2.7	2.9	3.0	3.0	3.0	3.1
85	0.2	0.6	0.7	0.8	1.5	1.6	1.6	·	·	·	1.9	2.1	2.3	2.3	2.4	2.4
80	0.1	1.2	1.4	1.5	1.9	2.1	2.1	·	·	·	2.3	2.4	2.9	2.9	2.9	2.9
75	0.2	1.1	1.8	1.9	3.2	3.2	3.3	·	·	·	3.5	3.9	4.4	4.4	4.5	4.5
70	0.5	1.6	2.5	2.7	3.5	3.7	4.1	·	·	·	4.3	4.5	5.8	5.8	5.9	5.9
65	0.1	0.5	0.7	0.7	1.2	1.4	1.6	·	·	·	1.8	2.0	2.5	2.5	2.6	2.6
60	0.2	0.8	1.5	1.9	2.7	3.2	3.6	·	·	·	3.9	4.4	4.7	5.0	5.2	5.2
55	0.4	1.4	2.0	2.3	3.0	3.1	3.7	·	·	·	4.1	4.5	4.8	5.2	5.6	5.6
50	0.7	1.8	2.4	3.1	4.2	4.6	5.1	·	·	·	6.2	6.3	6.6	7.7	8.0	8.2
45	0.1	1.0	1.2	1.5	2.4	3.1	3.5	·	·	·	3.9	4.1	4.2	5.0	5.3	5.3
40	0.6	1.7	3.3	3.9	6.3	7.3	8.4	·	·	·	9.1	9.2	9.3	9.7	9.9	10.0
35	1.0	2.5	3.4	5.8	8.4	9.3	10.5	·	·	·	11.2	11.5	11.6	12.1	12.5	12.7
30	1.4	3.7	4.9	6.2	9.9	12.1	14.1	·	·	·	15.6	16.0	16.3	16.5	17.2	17.5
25	1.9	9.3	11.7	13.1	17.2	19.6	21.9	·	·	·	24.2	25.0	26.1	26.8	28.2	28.4
20	1.9	9.9	12.5	15.2	21.1	25.5	29.0	·	·	·	32.0	33.9	35.0	36.1	37.5	37.9
15	1.5	5.3	9.1	11.5	17.9	22.4	27.0	·	·	·	31.4	32.6	33.4	34.3	35.5	36.2
10	1.1	5.1	8.9	12.5	24.0	30.8	37.2	·	·	·	44.2	46.7	47.6	49.2	51.0	52.1
05	1.1	6.0	12.0	16.7	29.8	37.3	46.2	·	·	·	55.9	58.2	60.3	62.6	64.7	66.8
77	3.1	14.3	25.6	37.7	65.9	81.1	99.5	·	·	·	121.4	128.5	132.8	138.1	148.9	156.9
95	1.5	7.4	14.3	21.2	41.8	56.5	72.2	·	·	·	87.0	91.8	95.6	99.8	108.1	118.4
90	1.4	9.8	18.8	28.7	56.1	70.0	90.1	·	·	·	112.8	122.5	129.7	138.0	154.1	181.7
85	1.4	8.3	17.0	26.9	54.1	65.2	87.1	·	·	·	116.6	128.9	140.4	154.6	183.7	241.2
80	2.2	12.5	25.6	38.2	75.3	83.5	108.8	·	·	·	142.0	158.7	176.4	204.2	242.1	322.3
75	2.9	13.4	25.1	38.7	68.9	74.8	88.7	·	·	·	113.0	133.3	155.0	185.5	216.9	279.4
70	2.5	18.0	37.0	55.3	82.5	88.1	105.2	·	·	·	124.0	139.0	159.9	187.3	207.9	234.6
65	2.1	15.4	31.8	48.1	64.4	68.3	79.7	·	·	·	92.7	102.1	113.5	130.8	139.5	147.6
60	1.4	11.2	23.8	39.9	56.1	59.7	70.0	·	·	·	81.6	89.5	98.2	109.2	114.5	120.4
55	1.2	7.8	14.3	21.8	31.9	33.9	40.6	·	·	·	47.0	50.4	53.4	57.7	59.8	62.0
50	1.5	12.3	22.5	33.5	49.3	51.7	59.9	·	·	·	66.5	69.7	73.9	78.4	81.1	83.0
45	1.2	6.4	12.7	18.9	26.5	27.9	31.0	·	·	·	34.5	35.9	37.8	40.6	41.8	42.6
40	1.6	10.3	18.9	26.9	38.0	39.3	44.0	·	·	·	46.7	48.1	49.4	51.4	52.1	52.5
35	1.8	6.8	11.7	16.3	21.3	22.1	24.9	·	·	·	27.3	28.5	29.2	30.4	31.0	31.8
30	1.3	7.9	13.5	19.1	24.8	25.8	27.4	·	·	·	29.3	30.0	30.7	32.1	33.2	33.3
25	1.0	5.3	9.6	12.8	16.9	18.0	19.3	·	·	·	20.6	21.5	22.0	22.9	23.3	24.0

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	7,665.68	open	43,467	7,700	3.1	7,688.8	14.0	7665	16.5	15.47	0.111	0.02300
T	10:00	7,665.62 -0.1	current	181,611	7,670	15.4	7,681.1	21.3	7665	14.1	15.51	-0.004	0.02820
T30	10:30	7,665.96 +0.3	current	182,735	7,670	19.0	7,675.8	26.2	7665	13.2	15.40	0.072	0.03120
E	11:00	7,676.08 +10.1	current	185,054	7,670	18.2	7,675.0	24.1	7675	12.1	15.28	0.034	0.03580
E30	11:30	7,690.26 +14.2	current	348,153	7,680	37.0	7,681.9	21.6	7690	11.6	15.33	0.029	0.04040
N	12:00	7,691.06 +0.8	current	124,864	7,700	15.2	7,691.7	31.8	7690	11.3	15.38	0.041	0.04300
N30	12:30	7,683.34 -7.7	current	216,980	7,680	25.3	7,683.7	31.1	7685	12.1	15.31	-0.059	0.04280
P130	13:30	7,678.13 -5.2	current	249,766	7,680	33.1	7,683.9	34.8	7680	10.6	15.30	-0.077	0.05800
P2	14:00	7,673.42 -4.7	current	127,499	7,675	20.3	7,679.8	40.9	7675	10.4	15.23	-0.068	0.06560
P230	14:30	7,671.74 -1.7	current	130,083	7,675	21.6	7,678.2	41.4	7670	10.8	15.31	0.143	0.07240
P3	15:00	7,678.57 +6.8	current	173,729	7,675	30.5	7,676.1	41.7	7680	11.8	15.24	-0.106	0.08160
P330	15:30	7,679.82 +1.3	current	187,274	7,680	37.8	7,680.9	52.5	7680	13.0	15.18	-0.004	0.10440
C	16:00 Close	7,675.02 -4.8	current	299,255	7,680	80.2	7,680.1	56.6	7675	35.2	15.15	0.573	0.28750

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.