TastierStudies
Generated · data through
SPX on VIX expiration days
Last 25 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 24 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 expirations that fell on a Fed decision day (statement at 2:00 ET / 11:00 PT). The Tuesday dates (Mar 18 '25, May 19 '26) come from holiday Fridays (Good Friday, Juneteenth). The session after each expiration is in the companion report.