What the index actually did between expirations — 15 years of it
An options trader is really making a judgement about a range of movement. WolfStalk replaces that judgement with a record: every expiration date since 2011, with its settlement level and the percentage move from the previous expiration, sliced into cuts you can work with.
Why this dataset matters more in US index options
SPX lists an expiration every weekday of the year, and short-dated contracts — 0DTE and weeklies — are now the single busiest part of the US options market by volume. That means the questions traders care about are mostly short-horizon questions: how far can this index travel in one day, in two days, from Monday to Friday. Those are exactly the questions a 15-year, 3,770-session record of settlement history can answer with a base rate instead of an opinion.
Weekly expirations were phased in over time — Monday and Wednesday expirations arrived in 2016, Tuesday and Thursday in 2022. The statistics distinguish expirations that were actually listed and tradable from hypothetical ones reconstructed from the underlying's settlement prices, so a count of sessions is never presented as a count of tradable contracts.
The cuts available in the product
Distribution of percentage moves
Each expiration is measured against the one before it, and the results are bucketed — below −4%, between −4% and −2%, and up through above +4%. You see how often the index actually stayed inside a narrow band and how often it broke out. This is the figure that decides whether the profit range on a short strangle is realistic or wishful.
Day-of-week statistics
For each weekday you get the number of expirations, the average move, and how many finished positive versus negative. With SPX listing an expiration every weekday, this is a real comparison across five populations, not a footnote.
Short-dated versus monthly
A weekly or 0DTE expiration and a third-Friday monthly are not the same product. The system separates them and lets you compare the distribution of moves, the average move and the positive-negative split across any date range.
Day pairing
Instead of measuring expiration to expiration, measure the move between one trading day and another inside the same week — Monday to Thursday, for instance. This fits positions that are opened and closed intraweek rather than carried to expiration.
Date-range filtering
Narrow the analysis to a specific period — one year, five years, or a particular market regime — and see whether the behaviour in that window differs from the full-period picture.
Full expiration table
A table of every expiration date with its settlement level, expiration type, weekday and the move from the previous expiration, including whether that expiration was actually listed at the time. Viewable directly and exportable on the appropriate plans.
From a statistic to a decision
1. Define the range
The simulator computes the break-even points of the position and translates them into a percentage range around the current index level.
2. Cross it with history
Check how many of the recorded expirations saw a realised move inside that range — and how many fell outside it.
3. Size the position
The historical breach rate is the basis for sizing the position and for deciding whether the structure needs protective wings.
On data sources and their limits
- Historical index levels are collected from public market data sources, and the expiration calendar is derived from them according to each exchange's listing rules. We continue to complete and correct the dataset, and counts may be revised.
- Weekly expirations were introduced gradually. Monday and Wednesday SPX expirations began in 2016 and Tuesday and Thursday in 2022, so earlier dates in the record are reconstructed reference points rather than contracts you could have traded. The statistics label them as such.
- Historical option premium data is not yet licensed. Backtesting therefore runs on the real historical settlement prices of the underlying combined with a premium assumption that you supply — not on a historical option chain. We do not present it as anything else.
- Past performance does not predict future results. These statistics describe what happened, not what will happen.
See the data for yourself
14 trial days. The full statistics cuts are available on Edge and above.