| Release Date | Time | Actual | Surprise | Straddle Perf. | Implied Move | SPX %Chg | |
|---|---|---|---|---|---|---|---|
| 2025-05-07 | 14:00 | 4.50% | 0.00% | N/A | N/A | N/A | |
| 2025-03-19 | 14:00 | 4.50% | 0.00% | -22% | 0.99% | 0.74% | |
| 2025-01-29 | 14:00 | 4.50% | 0.00% | -37% | 0.70% | -0.32% | |
| 2024-12-18 | 14:00 | 4.50% | 0.00% | 419% | 0.60% | -2.93% | |
| 2024-11-07 | 14:00 | 4.75% | 0.00% | -15% | 0.60% | 0.42% | |
| 2024-09-18 | 14:00 | 5.00% | -0.25% | -71% | 1.05% | -0.43% | |
| 2024-07-31 | 14:00 | 5.50% | 0.00% | -57% | 0.90% | 0.27% | |
| 2024-06-12 | 14:00 | 5.50% | 0.00% | -75% | 0.67% | -0.05% | |
| 2024-05-01 | 14:00 | 5.50% | 0.00% | -58% | 0.84% | -0.23% | |
| 2024-03-20 | 14:00 | 5.50% | 0.00% | 57% | 0.75% | 0.9% |
Response Statistics
Average Response:
-0.18%
Upper Bound Response:
0.95%
Lower Bound Response:
-1.31%
Implied Move Statistics
Average Straddle Returns:
15.75%
Average Implied Move:
±0.79%
SPX Index %Chg
Time
Implied vs. Realized Move Timeline
Directional Movement Statistics
Average Gain
0.58%
3.20
Average Loss
-0.79%
-4.70
Implied Move Statistics
Average Gain
238.14%
8.69
Average Loss
-47.79%
-2.21
First Straddle Touch (5-Mins)
SPY % Change
Minutes Since Release
SPX Index %Chg
Time
Yang-Zhang Volatility
Time