Measurements on the session archive — each with its sample, its method and how to reproduce it
The glossary explains the terms; these pages put one question at a time to the whole archive and report what it says. Every post states the sessions it was measured on, the caveats that bound it, and enough of the method to rebuild it from the public session files. Posts are dated because the archive grows. None of it is a signal, and none of it is investment advice.
Per-contract open interest and volume, every SPX expiry within a month, 1,081 sessions: the book grows by ~40% of each day's volume, far expiries are open-and-hold while near ones churn, and on its own expiry day 0DTE trades about six times its opening open interest — eight times in 2026. What an OI-based dealer book can and cannot see.
OCC publishes who traded each day — customer, firm, market maker — as sides, not trades. One line of algebra turns that into a lower bound on the share of SPXW trades with a market maker on both sides: positive on 95% of days, median 5.3%, rising year over year. A free daily noise floor for any tape-based dealer book.
The probability that SPX reaches a level a given number of sigmas away with a given number of minutes left — measured on 1,082 sessions of minute data, no model, no lookahead. A baseline for judging any intraday level.
Hold rate, break-at-close, comeback and overshoot for the zero-gamma flip, the hold band and the prior day's range, each read at 10:00 ET and judged against the rest of the session — and how much of the holding is just distance.