Expiration days in the SPX archive

77 sessions · newest first · the calendar

By event:FOMCCPINFPPCEPPIGDPRetail salesJOLTSISMClaimsAuctionsFedOpexVIX settlementUMichConfidenceEIAHaltsHousingRefundingRebalances

Monthly opex · the session: 0.96x the usual session, 36 days · the study

The book: the volume-book flip crossed on 97% of these days, 95% otherwise; short gamma at the start on 17 of 36, then 1.31x the move of the long-gamma days.

Quarterly opex (quad witching) · the session: 0.93x the usual session, 18 days · the study

These are the sessions in the free archive that carried Monthly opex or Quarterly opex (quad witching) or ES and NQ futures expiry and roll or Quarter-end and month-end SPX expiry or LEAPS expiry. Each opens the full minute-by-minute replay in the terminal: dealer gamma, the zero-gamma flip, the walls, the event's minute marked on the scrubber. The measured line above reads the same window on every one of these days against the same window on every other archived day: range over the window / (trailing 30-min move x sqrt(minutes)), mean on event days over mean on other days. The move column is the signed change in index points over the session and is filled for the most recent days the measurement carries; nothing here is a forecast.

Times are ET. Prints are the release's own numbers where the calendar has them: actual, forecast and prior. The book line, where present, comes from the dealer levels per minute of every archived session. See the Terms.