Historical call and put wall studies
A large-cap options study of historical call and put volume walls, ATR distance, days to expiry, vanna proxies, and the conditional probability of finishing beyond the wall.
Distance, DTE, and regime matter.
A wall one ATR away with one day left is a different object than a wall already breached with ten days left. The study measures those states separately.
864 historical wall observations.
Polygon historical option aggregates are used across SPY, QQQ, IWM, AAPL, MSFT, NVDA, TSLA, AMZN, and META monthly expirations.
Historical volume wall, not OI.
Historical REST snapshots do not expose historical OI, so this study uses same-expiration option volume walls and labels that limitation directly.
When walls pin, fail, or become accelerants
The test identifies the largest same-expiration call and put volume walls 1, 5, and 10 trading days before monthly expiration. It then asks whether price finishes beyond the wall, and whether that finish is economically meaningful: more than 0.5 ATR past the strike.
The point is to reject the lazy version of the wall narrative. A wall is not support or resistance by itself. It is a conditional state variable whose information content depends on time remaining, distance, realized volatility, and whether price has already crossed the wall.
- A historical wall is the highest-volume call or put strike for the same expiration on the observation date, within plus or minus four ATR of spot.
- Distance is measured in ATR units. A significant breach means expiration close finishes beyond the wall by at least 0.5 ATR.
- Vanna and charm are model-based proxies estimated from option price, strike, underlying price, and DTE. They are not true dealer inventory.
The practical distinction is simple: walls are more fadeable when they are nearby, dominant, and volatility is low. They become dangerous when price is already through the wall or when high-volatility, high-vanna conditions appear before expiration.