| Release Date | Time | Actual | Surprise | Straddle Perf. | Implied Move | SPX %Chg | |
|---|---|---|---|---|---|---|---|
| 2026-09-16 | 14:00 | None | none | 25% | 0.62% | -0.71% | |
| 2026-07-29 | 14:00 | 3.75% | +0.00% | 100% | 0.78% | -1.41% | |
| 2026-06-17 | 14:00 | 3.75% | +0.00% | 113% | 0.63% | -1.37% | |
| 2026-04-29 | 14:00 | 3.75% | +0.00% | -41% | 0.67% | 0.08% | |
| 2026-03-18 | 14:00 | 3.75% | +0.00% | 48% | 0.77% | -1.02% | |
| 2026-01-28 | 14:00 | 3.75% | +0.00% | -70% | 0.52% | -0.23% | |
| 2025-12-10 | 14:00 | 3.75% | +0.00% | -12% | 0.67% | 0.72% | |
| 2025-10-29 | 14:00 | 4.00% | +0.00% | -35% | 0.61% | -0.21% | |
| 2025-09-17 | 14:00 | 4.25% | +0.00% | -89% | 0.65% | -0.13% | |
| 2025-07-30 | 14:00 | 4.50% | +0.00% | -37% | 0.51% | -0.22% |
Response Statistics
Average Response:
-0.45%
Upper Bound Response:
0.22%
Lower Bound Response:
-1.12%
Implied Move Statistics
Average Straddle Returns:
0.25%
Average Implied Move:
±0.64%
SPX Index %Chg
Time
Implied vs. Realized Move Timeline
Directional Movement Statistics
Average Gain
0.40%
2.74
Average Loss
-0.66%
-4.78
Implied Move Statistics
Average Gain
71.51%
3.68
Average Loss
-47.25%
-1.91
First Straddle Touch (5-Mins)
SPY % Change
Minutes Since Release
SPX Index %Chg
Time
Yang-Zhang Volatility
Time