| Release Date | Time | Actual | Surprise | Straddle Perf. | Implied Move | SPX %Chg | |
|---|---|---|---|---|---|---|---|
| 2026-01-28 | 14:00 | 4.50% | +0.0% | -70% | 0.52% | -0.23% | |
| 2025-12-10 | 14:00 | 3.75% | +0.0% | -12% | 0.67% | 0.72% | |
| 2025-10-29 | 13:00 | 4.00% | +0.0% | -35% | 0.61% | -0.21% | |
| 2025-09-17 | 13:00 | 4.25% | +0.0% | -89% | 0.65% | -0.13% | |
| 2025-07-30 | 13:00 | 4.50% | +0.0% | -37% | 0.51% | -0.22% | |
| 2025-06-18 | 13:00 | 4.50% | +0.0% | -91% | 0.68% | -0.16% | |
| 2025-05-07 | 14:00 | 4.50% | 0.00% | -72% | 0.96% | 0.19% | |
| 2025-03-19 | 14:00 | 4.50% | 0.00% | -19% | 0.96% | 0.74% | |
| 2025-01-29 | 14:00 | 4.50% | 0.00% | -36% | 0.68% | -0.32% | |
| 2024-12-18 | 14:00 | 4.50% | 0.00% | 456% | 0.56% | -2.93% |
Response Statistics
Average Response:
-0.25%
Upper Bound Response:
0.76%
Lower Bound Response:
-1.27%
Implied Move Statistics
Average Straddle Returns:
-0.57%
Average Implied Move:
±0.68%
SPX Index %Chg
Time
Implied vs. Realized Move Timeline
Directional Movement Statistics
Average Gain
0.55%
3.38
Average Loss
-0.60%
-3.70
Implied Move Statistics
Average Gain
455.92%
15.41
Average Loss
-51.29%
-2.19
First Straddle Touch (5-Mins)
SPY % Change
Minutes Since Release
SPX Index %Chg
Time
Yang-Zhang Volatility
Time