How does SPX trade on days 0DTE implied volatility opens at 20% or higher?
SPX sessions with 0DTE IV 20% and above at the open · 118 sessions · the archive filtered by the dealer book · all sessions · the calendar
Short answer. 118 of 1,103 archived SPX sessions matched. Of them 64% closed above the zero-gamma flip (archive 84%), 24% held the expected-hold band (archive 60%) and the mean open-to-close move was 1.23% (archive 0.60%). Counts over finished sessions, recomputed as the archive grows; a share equal to the archive's is a base rate, not a pattern.
118 of 1,103 sessions match. Of them 64% closed above the flip (archive 84%), 24% held the expected-hold band (archive 60%), mean open-to-close move 1.23% (archive 0.60%).
Every row is a finished SPX session and links to its page, where the same numbers stand with the day's events and a free minute-by-minute replay. The filters are the closing measurements those pages print: the zero-gamma flip against the close and the open, the net-gamma percentile, how often the flip was crossed, whether the expected-hold band held, and the calendar event the day carried. The shares above are counts over the matched days next to the same counts over the whole archive; a share that matches the archive is a base rate, not a pattern.
| Session | Close | Move | Flip | vs flip | Pctl | Cross | Band | Events |
|---|---|---|---|---|---|---|---|---|
| 2025-11-21 | 6,602.80 | +0.46% | 6,522.7 | +80.1 | 93 | 0 | broke | Fed, Opex |
| 2025-04-30 | 5,563.40 | +1.58% | 5,349.5 | +213.9 | 100 | 0 | held | PCE, GDP, Refunding, VIX settlement, EIA |
| 2025-04-25 | 5,525.34 | +0.71% | 5,384.6 | +140.7 | 100 | 0 | held | Retail sales, UMich |
| 2025-04-24 | 5,484.65 | +1.96% | 5,220.4 | +264.3 | 100 | 0 | held | Housing, Claims, EIA, Auctions |
| 2025-04-23 | 5,377.07 | -0.77% | 5,307.0 | +70.1 | 94 | 0 | held | Housing, VIX settlement, EIA, Auctions, Fed |
| 2025-04-22 | 5,287.57 | +1.51% | 5,140.3 | +147.3 | 99 | 0 | held | Auctions |
| 2025-04-21 | 5,159.90 | -1.34% | 5,114.3 | +45.6 | 100 | 4 | broke | |
| 2025-04-17 | 5,282.85 | -0.33% | 5,161.1 | +121.8 | 99 | 0 | held | Housing, Claims, EIA, Fed, Opex |
| 2025-04-16 | 5,274.90 | -1.27% | 5,138.7 | +136.2 | 100 | 0 | held | Retail sales, VIX settlement, EIA, Auctions, Fed |
| 2025-04-14 | 5,405.10 | -0.87% | 5,227.5 | +177.6 | 100 | 0 | held | |
| 2025-04-11 | 5,360.72 | +1.90% | 5,182.1 | +178.6 | 37 | 0 | held | PPI, UMich |
| 2025-04-10 | 5,268.22 | -1.47% | 5,234.2 | +34.0 | 68 | 2 | broke | CPI, Claims, EIA, Auctions |
| 2025-04-09 | 5,454.52 | +10.00% | 5,453.0 | +1.5 | 83 | 3 | broke | VIX settlement, EIA, Auctions |
| 2025-04-08 | 4,987.15 | -4.77% | 5,026.0 | -38.9 | 1 | 17 | broke | Auctions |
| 2025-04-07 | 5,063.06 | +3.30% | 5,035.1 | +28.0 | 83 | 14 | broke | Halts |
| 2025-04-04 | 5,074.67 | -3.70% | 5,076.0 | -1.3 | 83 | 3 | broke | NFP, Fed |
| 2025-03-31 | 5,611.40 | +1.61% | 5,597.2 | +14.2 | 92 | 1 | broke | |
| 2025-03-12 | 5,600.19 | -0.49% | 5,609.6 | -9.4 | 0 | 1 | broke | CPI, VIX settlement, EIA, Auctions |
| 2025-03-11 | 5,572.65 | -0.60% | 5,400.4 | +172.3 | 80 | 2 | held | JOLTS, Auctions |
| 2025-03-10 | 5,614.39 | -1.34% | 5,534.3 | +80.1 | 69 | 0 | held | |
| 2025-03-07 | 5,769.90 | +0.73% | 5,683.3 | +86.6 | 73 | 0 | broke | NFP, Fed |
| 2025-03-06 | 5,737.42 | -0.50% | 5,592.0 | +145.4 | 74 | 0 | held | Claims, EIA |
| 2025-03-05 | 5,841.37 | +1.00% | 5,627.9 | +213.5 | 71 | 0 | held | Housing, VIX settlement, ISM, EIA, Fed |
| 2025-03-04 | 5,778.45 | -0.48% | 5,575.4 | +203.1 | 0 | 5 | held | |
| 2024-09-18 | 5,618.30 | -0.34% | 5,589.0 | +29.3 | 34 | 2 | held | Housing, VIX settlement, EIA, FOMC |
| 2024-08-08 | 5,321.16 | +1.23% | 5,231.9 | +89.3 | 13 | 1 | held | Claims, EIA, Auctions |
| 2024-08-06 | 5,238.87 | +0.62% | 5,225.9 | +13.0 | 84 | 6 | broke | Auctions |
| 2024-08-05 | 5,187.74 | +1.20% | 5,080.9 | +106.8 | 1 | 16 | broke | ISM, Fed |
| 2024-08-02 | 5,345.79 | -0.47% | 5,340.6 | +5.2 | 78 | 10 | broke | NFP, Housing |
| 2023-03-24 | 3,971.87 | +1.02% | 3,968.1 | +3.8 | 4 | 7 | broke | Housing, UMich |
| 2023-03-22 | 3,936.62 | -1.62% | 3,906.4 | +30.2 | 8 | 13 | broke | VIX settlement, EIA, FOMC |
| 2023-03-20 | 3,950.82 | +0.61% | 3,886.2 | +64.6 | 100 | 12 | held | |
| 2023-03-17 | 3,915.85 | -0.89% | 3,921.2 | -5.3 | 89 | 10 | broke | Opex |
| 2023-03-16 | 3,960.81 | +2.36% | 3,944.6 | +16.2 | 100 | 10 | broke | Housing, Claims, EIA |
| 2023-03-15 | 3,889.95 | +0.75% | 3,883.2 | +6.8 | 6 | 19 | broke | PPI, Retail sales, VIX settlement, EIA |
| 2023-03-14 | 3,920.85 | +0.32% | 3,921.0 | -0.2 | 2 | 3 | broke | CPI |
| 2023-03-13 | 3,856.47 | +0.85% | 3,828.9 | +27.6 | 95 | 2 | broke | Halts |
| 2023-03-10 | 3,861.60 | -1.16% | 3,863.4 | -1.8 | 1 | 3 | broke | NFP, UMich |
| 2023-02-14 | 4,135.67 | +0.55% | 4,134.4 | +1.3 | 4 | 9 | broke | CPI, PPI |
| 2023-02-01 | 4,117.72 | +1.30% | 4,116.5 | +1.2 | 77 | 10 | broke | Refunding, VIX settlement, ISM, JOLTS, Housing, EIA, FOMC |
| 2023-01-12 | 3,983.75 | +0.11% | 3,941.0 | +42.8 | 91 | 0 | broke | CPI, Claims, EIA, Auctions |
| 2023-01-06 | 3,894.32 | +1.50% | 3,983.6 | -89.3 | 98 | 2 | broke | NFP, Housing |
| 2022-12-16 | 3,852.14 | -0.42% | 3,788.7 | +63.4 | 58 | 2 | broke | Opex |
| 2022-12-14 | 3,997.90 | -0.60% | 3,841.3 | +156.6 | 50 | 0 | broke | VIX settlement, EIA, FOMC |
| 2022-12-13 | 4,020.22 | -1.97% | 4,027.2 | -7.0 | 34 | 14 | broke | CPI, Auctions |
| 2022-11-30 | 4,075.67 | +2.89% | 4,113.2 | -37.5 | 1 | 11 | broke | GDP, VIX settlement, JOLTS, EIA, Fed, Opex |
| 2022-11-11 | 3,993.00 | +0.80% | 4,028.4 | -35.4 | 28 | 3 | broke | UMich |
| 2022-11-10 | 3,954.42 | +1.62% | 3,954.5 | -0.1 | 86 | 10 | broke | CPI, Claims, EIA, Auctions |
| 2022-11-09 | 3,749.47 | -1.47% | 3,723.7 | +25.8 | 86 | 4 | broke | VIX settlement, EIA, Auctions |
| 2022-11-04 | 3,771.49 | -0.22% | 3,714.2 | +57.3 | 90 | 8 | broke | NFP |
| 2022-11-03 | 3,721.19 | +0.09% | 3,714.1 | +7.1 | 99 | 0 | broke | Housing, Claims, ISM, EIA |
| 2022-11-02 | 3,760.95 | -2.27% | 3,792.3 | -31.4 | 21 | 13 | broke | Refunding, VIX settlement, EIA, FOMC |
| 2022-10-31 | 3,871.72 | -0.10% | 3,855.8 | +15.9 | 99 | 8 | held | Refunding |
| 2022-10-26 | 3,830.19 | +0.09% | 3,841.2 | -11.0 | 100 | 4 | broke | Housing, VIX settlement, EIA, Auctions |
| 2022-10-24 | 3,798.55 | +0.85% | 3,679.4 | +119.2 | 97 | 3 | broke | |
| 2022-10-21 | 3,753.64 | +2.73% | 3,755.3 | -1.7 | 92 | 2 | broke | Opex |
| 2022-10-20 | 3,665.52 | -0.73% | 3,662.8 | +2.7 | 0 | 31 | broke | Claims, EIA |
| 2022-10-19 | 3,696.65 | -0.22% | 3,695.0 | +1.7 | 78 | 4 | broke | Housing, VIX settlement, EIA, Auctions |
| 2022-10-18 | 3,720.90 | -1.04% | 3,680.6 | +40.3 | 71 | 16 | broke | |
| 2022-10-17 | 3,678.40 | +0.56% | 3,584.2 | +94.2 | 89 | 6 | held | |
| 2022-10-14 | 3,586.86 | -2.87% | 3,563.8 | +23.1 | 11 | 23 | broke | Retail sales, UMich |
| 2022-10-13 | 3,670.01 | +4.81% | 3,674.2 | -4.2 | 0 | 14 | broke | CPI, Claims, EIA, Auctions |
| 2022-10-12 | 3,578.17 | -0.20% | 3,490.6 | +87.6 | 98 | 0 | held | PPI, VIX settlement, Auctions |
| 2022-10-11 | 3,587.80 | -0.17% | 3,586.2 | +1.6 | 74 | 8 | broke | |
| 2022-10-10 | 3,613.57 | -1.00% | 3,619.1 | -5.5 | 1 | 17 | broke | |
| 2022-10-07 | 3,641.52 | -1.59% | 3,608.7 | +32.8 | 98 | 0 | held | NFP |
| 2022-10-05 | 3,780.25 | +0.84% | 3,782.9 | -2.7 | 0 | 3 | broke | VIX settlement, ISM, EIA |
| 2022-10-03 | 3,678.02 | +1.47% | 3,632.1 | +45.9 | 100 | 0 | broke | ISM, Housing |
| 2022-09-30 | 3,587.67 | -1.32% | 3,556.0 | +31.7 | 100 | 24 | broke | PCE |
| 2022-09-29 | 3,640.87 | -1.14% | 3,638.4 | +2.5 | 1 | 10 | broke | GDP, Claims, EIA |
| 2022-09-28 | 3,719.20 | +1.76% | 3,713.3 | +5.9 | 100 | 18 | broke | VIX settlement, Fed, EIA, Auctions |
| 2022-09-27 | 3,646.87 | -1.24% | 3,640.5 | +6.4 | 92 | 8 | broke | Housing, Confidence, Auctions |
| 2022-09-26 | 3,656.12 | -0.70% | 3,662.9 | -6.8 | 4 | 11 | broke | |
| 2022-09-23 | 3,693.67 | -0.62% | 3,672.5 | +21.2 | 13 | 23 | broke | UMich |
| 2022-09-22 | 3,758.69 | -0.79% | 3,790.7 | -32.0 | 5 | 23 | broke | Claims, EIA |
| 2022-09-21 | 3,790.82 | -2.29% | 3,805.7 | -14.9 | 84 | 6 | broke | VIX settlement, EIA, FOMC |
| 2022-09-19 | 3,899.47 | +1.57% | 3,901.1 | -1.6 | 0 | 18 | broke | |
| 2022-09-16 | 3,874.41 | +0.45% | 3,890.0 | -15.6 | 14 | 7 | broke | Opex |
| 2022-08-26 | 4,058.52 | -3.35% | 4,090.8 | -32.3 | 1 | 7 | broke | PCE, Fed, UMich |
| 2022-07-27 | 4,022.37 | +1.65% | 4,028.2 | -5.8 | 5 | 13 | broke | Housing, VIX settlement, EIA, FOMC |
| 2022-07-14 | 3,789.32 | +0.98% | 3,798.2 | -8.9 | 0 | 12 | held | PPI, Claims, EIA |
| 2022-07-13 | 3,803.05 | +0.84% | 3,770.8 | +32.3 | 100 | 4 | broke | CPI, VIX settlement, EIA, Auctions |
| 2022-07-06 | 3,844.71 | +0.30% | 3,835.3 | +9.4 | 100 | 3 | broke | VIX settlement, ISM, JOLTS |
| 2022-07-05 | 3,831.12 | +1.66% | 3,828.2 | +2.9 | 98 | 15 | broke | Housing |
| 2022-07-01 | 3,822.85 | +0.97% | 3,761.8 | +61.0 | 100 | 11 | broke | ISM, Housing |
| 2022-06-30 | 3,780.79 | +0.02% | 3,766.5 | +14.3 | 100 | 0 | broke | PCE, Claims, EIA |
| 2022-06-29 | 3,818.81 | -0.17% | 3,790.6 | +28.2 | 100 | 2 | held | GDP, Fed, VIX settlement, EIA |
| 2022-06-23 | 3,796.97 | +0.38% | 3,794.4 | +2.6 | 96 | 6 | broke | Claims, Fed, EIA |
| 2022-06-22 | 3,760.65 | +1.10% | 3,772.4 | -11.8 | 100 | 5 | broke | Fed, VIX settlement, Auctions |
| 2022-06-21 | 3,763.82 | +0.78% | 3,771.9 | -8.1 | 5 | 1 | held | |
| 2022-06-17 | 3,673.32 | -0.08% | 3,716.2 | -42.9 | 0 | 11 | broke | Fed, Opex |
| 2022-06-16 | 3,665.62 | -0.99% | 3,727.6 | -62.0 | 9 | 1 | broke | Housing, Claims, EIA |
| 2022-06-15 | 3,788.75 | +0.46% | 3,853.9 | -65.2 | 100 | 18 | broke | Retail sales, VIX settlement, EIA, FOMC |
| 2022-06-14 | 3,736.39 | -0.84% | 3,727.6 | +8.8 | 100 | 7 | broke | PPI |
| 2022-06-13 | 3,751.84 | -1.38% | 3,779.6 | -27.8 | 1 | 3 | broke | |
| 2022-06-10 | 3,898.87 | -1.37% | 4,034.8 | -135.9 | 0 | 3 | held | CPI, UMich |
| 2022-06-03 | 4,107.97 | -0.42% | 4,123.7 | -15.7 | 26 | 6 | broke | NFP, ISM |
| 2022-05-31 | 4,133.06 | -0.18% | 4,158.7 | -25.6 | 24 | 8 | broke | Confidence, Opex |
| 2022-05-26 | 4,058.55 | +1.67% | 3,981.7 | +76.9 | 100 | 0 | held | GDP, Claims, EIA, Auctions, Fed |
| 2022-05-25 | 3,978.00 | +1.23% | 3,976.3 | +1.7 | 15 | 5 | broke | Housing, VIX settlement, EIA, Auctions |
| 2022-05-24 | 3,940.41 | +0.19% | 3,941.2 | -0.8 | 96 | 10 | broke | Housing, Fed |
| 2022-05-23 | 3,973.02 | +1.01% | 3,974.2 | -1.2 | 68 | 12 | broke | |
| 2022-05-20 | 3,903.52 | -0.79% | 3,850.7 | +52.8 | 100 | 12 | broke | Opex |
| 2022-05-19 | 3,901.97 | +0.21% | 3,893.4 | +8.6 | 99 | 5 | broke | Claims, EIA |
| 2022-05-18 | 3,924.20 | -2.87% | 3,961.3 | -37.1 | 41 | 15 | broke | Housing, VIX settlement, EIA, Auctions |
| 2022-05-16 | 4,007.44 | -0.06% | 3,990.6 | +16.8 | 1 | 3 | broke | |
| 2022-05-13 | 4,023.25 | +1.24% | 4,062.3 | -39.1 | 26 | 7 | broke | Housing, UMich |
| 2022-05-11 | 3,934.19 | -1.40% | 3,919.7 | +14.5 | 97 | 7 | held | CPI, VIX settlement, EIA, Auctions |
| 2022-05-10 | 4,001.87 | -1.59% | 3,989.0 | +12.9 | 98 | 26 | broke | |
| 2022-05-09 | 3,991.46 | -1.74% | 3,944.6 | +46.9 | 91 | 23 | held | Fed |
| 2022-05-06 | 4,125.09 | +0.08% | 4,115.3 | +9.8 | 99 | 5 | broke | NFP |
| 2022-05-04 | 4,300.15 | +2.88% | 4,302.9 | -2.7 | 12 | 4 | broke | Refunding, VIX settlement, ISM, EIA, FOMC |
| 2022-05-03 | 4,173.47 | +0.40% | 4,123.4 | +50.1 | 88 | 6 | broke | Housing, JOLTS |
| 2022-05-02 | 4,155.12 | +0.42% | 4,168.1 | -13.0 | 20 | 3 | broke | ISM, Housing, Refunding |
| 2022-04-29 | 4,131.27 | -2.73% | 4,168.8 | -37.5 | 0 | 1 | broke | PCE |
| 2022-04-27 | 4,185.27 | -0.12% | 4,160.1 | +25.2 | 98 | 3 | broke | VIX settlement, EIA, Auctions |
| 2022-04-26 | 4,177.05 | -2.16% | 4,189.3 | -12.3 | 14 | 13 | broke | Housing, Confidence |
| 2022-04-25 | 4,296.66 | +1.28% | 4,315.2 | -18.5 | 61 | 9 | broke | Retail sales |
Turn a filter into a rule
A count is where a question starts. The Lab takes a rule in plain
words ("sell the 0DTE straddle at 10:00 on days that opened below the flip with the
percentile under 20"), compiles it against every archived session and reports the
out-of-sample verdict with day-clustered intervals. An assistant with the
MCP server can page through the same archive with
list_sessions and get_session.
Measurements are model output derived from public trade and quote data; they are approximations and can be wrong. Nothing here is investment advice; see the Terms.