methodology · last verified 2026-09-27
Why every pin number is wrong, including ours
A collector polls CBOE's free 15-minute delayed option chains for SPX (SPXW), SPY and QQQ every 5 minutes (every 2 minutes after 3:15pm ET), keeps only the contracts expiring that session, stores the raw slice with a SHA-256 hash, and derives max pain, call/put walls (largest open interest above/below spot, searched within 2× the ATM straddle and never less than 0.5% of spot — deep-OTM lottery strikes are excluded on purpose) and the ATM straddle from open interest and quotes. Sessions are finalized 20 minutes after the close using CBOE's official close field when present.
Known limitations (in order of size)
- Open interest is a once-a-day number. CBOE publishes OI from the prior settlement cycle; intraday 0DTE volume is not in it. Max pain from OI understates the day's flow.
- Quotes are 15 minutes late. CBOE's feed stamps each payload with its publish time; the prints inside are about 15 minutes older, so every as-of time on this site is the publish time minus 15 minutes — the time the prices were actually true. A "3:30 check" therefore reads "as of 3:14pm" or so. Every message and page says its as-of time.
- "Max pain" is a model with choices. Ours: the strike minimizing OI-weighted intrinsic payout across the session's 0DTE contracts only (SPXW for SPX). Other publishers include monthlies or use volume; the numbers differ and the blogosphere contradicts itself. We publish every input so you can recompute.
- Close vs settlement. We measure to CBOE's close field (or, if absent, the last delayed print — labeled
last_delayed_print). SPXW PM settlement uses the official closing index value; the two can differ by cents. - High/low are the provider's fields, not our samples, but they update with the same delay.
- Coverage gaps. If a source fails the row says so (session pages carry
n_snapshots); we never interpolate.
Instrument mechanics we rely on
| SPX | Cash-settled to the official S&P 500 closing value on expiration day. No shares change hands; ITM value × 100 is credited/debited. OTM at the close expires worthless. verified 2026-09-25 www.cboe.com · www.cboe.com · www.optionseducation.org |
|---|---|
| SPY | Physically settled. OCC exercise-by-exception auto-exercises an expiring option that is in the money by $0.01 or more at the close unless the holder (via the broker) says otherwise. Shares are delivered/taken the next business day. verified 2026-09-25 www.cboe.com · www.optionseducation.org · www.finra.org · www.schwab.com |
| QQQ | Physically settled, same OCC $0.01 exercise-by-exception rule as SPY. Shares are delivered/taken the next business day. verified 2026-09-25 www.cboe.com · www.optionseducation.org · www.finra.org · www.schwab.com |
Trading calendar
Holidays and early closes from NYSE, last verified 2026-09-25. Early-close sessions settle at 1:00pm ET and the countdown follows.
Corrections
Found a wrong number? corrections@0dteclose.com. We publish corrections on the affected page with a date.