VIX settlement days in the SPX archive

230 sessions · newest first · the calendar

By event:FOMCCPINFPPCEPPIGDPRetail salesJOLTSISMClaimsAuctionsFedOpexVIX settlementUMichConfidenceEIAHaltsHousingRefundingRebalances

first 30 min: 0.9x the usual open, 227 days

The book: flip crossed on 19% of these days, 24% otherwise; short gamma at the start on 28 of 178, then 1.19x the move of the long-gamma days.

These are the sessions in the free archive that carried VIX settlement. 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 first 30 minutes 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.