TastierStudies
Generated · data through
SPX the day after VIX expiration
The session after each of the last 24 monthly VIX settlements · 5-minute marks · % change from the 9:31 open · older days fade
Where the movement happens
SPY on the same days: average volume and movement by 5-minute bar (wheel out for the pre-market, from 4:00 ET)
SPX here is the put-call-parity price from SPXW 0DTE quotes (databento, by the minute), sampled every 5 minutes, so it can sit a point or two off the official index print. SPY bars are Massive 5-minute aggregates (volume in shares, bar start times) from 4:00 ET for the 23 days the data plan covers; the FOMC toggle applies to that panel too. The heat strip is the average absolute move of each 5-minute bar across the selected days. Orange lines and the FOMC tag mark the sessions that followed an expiration on a Fed decision day (the first full session after the statement). Jun 20 '25 follows the Juneteenth holiday. Today (Oct 22) follows yesterday's expiration and is not in the cache yet. The expiration days themselves are in the companion report.