| Release Date | Time | Actual | Surprise | Straddle Perf. | Implied Move | SPX %Chg | |
|---|---|---|---|---|---|---|---|
| 2025-12-10 | 14:00 | 3.75% | +0.0% | -12% | 0.67% | 0.72% | |
| 2025-10-29 | 13:00 | 4.00% | +0.0% | -38% | 0.64% | -0.21% | |
| 2025-09-17 | 13:00 | 4.25% | +0.0% | -90% | 0.68% | -0.13% | |
| 2025-07-30 | 13:00 | 4.50% | +0.0% | -40% | 0.54% | -0.22% | |
| 2025-06-18 | 13:00 | 4.50% | +0.0% | -92% | 0.72% | -0.16% | |
| 2025-05-07 | 14:00 | 4.50% | 0.00% | -73% | 0.98% | 0.19% | |
| 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% |
Response Statistics
Average Response:
-0.19%
Upper Bound Response:
0.85%
Lower Bound Response:
-1.23%
Implied Move Statistics
Average Straddle Returns:
0.13%
Average Implied Move:
±0.71%
SPX Index %Chg
Time
Implied vs. Realized Move Timeline
Directional Movement Statistics
Average Gain
0.52%
3.16
Average Loss
-0.66%
-4.05
Implied Move Statistics
Average Gain
419.06%
15.17
Average Loss
-46.42%
-2.10
First Straddle Touch (5-Mins)
SPY % Change
Minutes Since Release
SPX Index %Chg
Time
Yang-Zhang Volatility
Time