---
title: "A Five-Box Daily Vol Note, Written on SPY"
description: "张无忌wepoets publishes the same five boxes every day: gamma pin, skew, VRP, expiry OI, and a named print. This article follows that 冰火岛 note, then fills the boxes on SPY in Rank Symbols and on the tape."
date: 2026-08-17
url: https://tradingflow.com/blogs/five-box-daily-vol-note-spy/
language: en
authors: ["John Hu"]
tags: ["IV30 vs RV20","gamma exposure","skew","option flow","Rank Symbols","SPY"]
---

# A Five-Box Daily Vol Note, Written on SPY

On August 17, 2026 (the note is stamped that date; the X timestamp is 8:49 PM on August 16), [张无忌wepoets (@wepoets1107)](https://x.com/wepoets1107/status/2089152613279506881) posted his usual **冰火岛期权笔记**. This article follows that note in the same order, then fills each box on **SPY** in [Rank Symbols](https://app.tradingflow.com/app/rank/symbols) and [Historical Option Trades](https://app.tradingflow.com/app/option-trades/historical). The SPY numbers are the latest session on **August 17, 2026**, captured in the test environment that afternoon. Last tape time on the Vol view was **2:11 PM ET**.

> HV has collapsed to 20.7% / 27.4%, a local low. BTC 21AUG skew has widened to +5.9%. ETH 1,900 calls printed a 500-lot buy.

![Annotated screenshot of the August 17, 2026 冰火岛 daily options note from @wepoets1107](https://tradingflow.com/blogs/five-box-daily-vol-note-spy/images/source-x-post-annotated.png)

*Original post from [张无忌wepoets (@wepoets1107)](https://x.com/wepoets1107/status/2089152613279506881). The author labels the note 2026-08-17. Callout 1 marks the five-box template. Callout 2 marks what a social note cannot prove on US listed options: Deribit inventory, account-side buy/sell, or identical clocks.*

The note is written on **BTC and ETH on Deribit**. TradingFlow does not have that chain. The five boxes still travel: where gamma sits, how far call IV is from put IV, VRP as IV minus HV, front versus next-expiry [open interest](https://tradingflow.com/docs/option-chain-and-oi/), and one named tape print.

A later post the same day, [RV已经降低到2字头](https://x.com/wepoets1107/status/2089178389961941024), reads the collapsed realized vol as "the big wave should not be far" and says to switch to **positive gamma**. That sentence is a trade. The five boxes are a checklist. This article fills the checklist on SPY. It does not copy the trade.

![Diagram mapping the five daily-note boxes onto TradingFlow fields and stating each clock mismatch](https://tradingflow.com/blogs/five-box-daily-vol-note-spy/images/five-box-map.svg)

*The template is portable. The clocks are not. IV30−RV20 is not his expiry HV. 25-delta skew is not 68k-call versus 62k-put. Tape Side is quote location.*

Readers with access can start from [SPY in the Vol drawer](https://app.tradingflow.com/app/rank/symbols?selectedSymbol=SPY&drawerTab=vol), then open **Gamma Exposure** and, separately, Historical Option Trades. Sign-in and a paid Rank entitlement may be required. Delayed data can apply.

## 1. Gamma pin

On BTC he writes: gamma concentrated near **63,000** on the 21AUG26 main expiry, spot 62,854, down 0.2%. On ETH: gamma in the **1,950-2,000** zone on the same expiry, spot 1,875.

TradingFlow will not hand you a Deribit strike. On SPY it hands you a flip, a call-side top, a put wall, and how much of gross GEX lives in 0DTE versus the week.

![Annotated SPY Gamma Exposure explorer for session August 17, 2026](https://tradingflow.com/blogs/five-box-daily-vol-note-spy/images/rank-spy-gex-annotated.png)

*Same session. All-expiration GEX is positive. Modeled flip $773.59 sits on top of spot. 0DTE top $777; put wall $765. Horizon mix: 0DTE 15.7%, weekly 34.6%, monthly 15.4%. GEX levels are prior-close structure (T+1). This is not a price target. See [Greeks and GEX](https://tradingflow.com/docs/greeks-and-gex/).*

On this snapshot:

- Environment: **positive GEX**
- Flip: **$773.59**
- 0DTE top: **$777**
- Put wall: **$765**
- Spot around **$773.6**, so the flip is sitting on cash

That is the closest analog to "gamma concentrated at 63k." Positive GEX describes modeled hedging that may *damp* moves. It is not an instruction to buy straddles, and it is not evidence that realized vol is about to expand.

## 2. Skew

On BTC he measured 21AUG 68,000 call IV **32.4%** versus 62,000 put IV **26.5%**: **+5.9%**, call premium, a recent high. On ETH the same expiry was nearly flat: 2,000 call IV 36.3% versus 1,800 put IV 37.1% (**−0.7%**).

Rank's analog is **25-delta skew at 30 days**, not a 68k-call versus 62k-put pair.

![Annotated Rank Symbols Vol row for SPY on the August 17, 2026 latest session](https://tradingflow.com/blogs/five-box-daily-vol-note-spy/images/rank-spy-vol-annotated.png)

*Authenticated test-environment capture. Vol presentation, SPY only, latest session August 17, 2026. IV30 12.66% sits 0.7 points under RV20. 25-delta skew is +4.1 points. This is a dated snapshot, not a live quote.*

SPY 25-delta skew on this session is **+4.1 pts**. In TradingFlow that sign is **put premium**. His BTC number was **call premium**. Copying "skew is wide" without the sign would reverse the story.

The Vol drawer keeps the same session's surface next to it:

![Annotated SPY Vol drawer on August 17, 2026 showing IV30, RV20, IV Rank, 25-delta skew, and term slope](https://tradingflow.com/blogs/five-box-daily-vol-note-spy/images/rank-spy-vol-drawer-annotated.png)

*IV30 snapshot date 2026-08-17. RV20 through 2026-08-17. 25-delta skew +4.1 points. Term slope −2.2 points means 30-day IV is cheaper than 90-day IV. The drawer's "cheap" label on IV Rank is versus SPY's own one-year IV, not a buy-vol instruction. See [IV30 vs RV20](https://tradingflow.com/blogs/iv30-vs-rv20-volatility-screener/).*

## 3. VRP = IV − HV

This is the line the original note leads with. BTC 21AUG: HV **20.7%**, IV **24.7%**, VRP about **+4%**. HV has "collapsed" under 21%; IV looks high versus that HV. ETH 21AUG: HV 27.4%, IV 32.5%, VRP about **+5.1%**.

Rank's analog is **IV30 − RV20**. Those are different clocks. His HV is tied to a **specific expiry**. Ours is a **20-session realized** window.

On this SPY snapshot:

- IV30: **12.66%** (drawer 12.7%)
- RV20: **13.34%** (drawer 13.3%)
- IV30−RV20: **−0.7 pts**
- IV Rank: **4.85%** (drawer 4.8%)
- IV Percentile: **14.74%**

His note needs **IV above HV** to call VRP fat. On this SPY snapshot the signed gap is slightly negative. Two honest readings:

- The clocks disagree, so they can. 21AUG HV is not a 20-session RV20.
- SPY [implied volatility](https://tradingflow.com/docs/glossary/implied-volatility-rank/) is already at a **4.85% IV Rank**. That is "low versus its own history," which is a different sentence from "IV is rich versus last month's realized."

Collapsed HV on BTC is not a transfer function onto SPY.

## 4. Expiry OI path

On BTC he writes 21AUG OI **18,068**, with small sells at 68k/72k, and 28AUG OI **62,487**. On ETH: 21AUG OI **71,086**, 28AUG OI **273,000**.

TradingFlow's overnight book is not two Deribit Fridays. Prefer the GEX horizon split, then a named strike's OI on the tape.

On this SPY snapshot the all-expiration gross GEX mix is:

- 0DTE: **15.7%**
- Weekly (1-7 days): **34.6%**
- Monthly (8-31 days): **15.4%**

The chain drawer for this session lists **34 expiries**. That is a book with many clocks.

On the tape, the Aug 21 **$775 call** prints with OI **54,464**. The Aug 21 **$770 put** prints with OI **16,100**. The Aug 17 **$775 put** prints with OI **11,470**. Those OI figures are the prior book sitting on the print, not a Deribit two-expiry path.

## 5. Named tape print

On ETH he names it: **21AUG 1,900 call, 500 lots, labelled a buy (~$9.7K)**, plus 120 lots of the 2,000 call. Call-side add, in his words.

![Annotated Historical Option Trades for SPY on August 17, 2026](https://tradingflow.com/blogs/five-box-daily-vol-note-spy/images/ot-spy-tape-annotated.png)

*Authenticated test-environment capture. Historical mode, SPY, date 2026-08-17, full day. A saved view on this account still excluded BULLISH sentiment, so the KPI mix is not a complete-session put/call census. Use the rows, not the header percentages. Side is quote location. Open [Historical Option Trades](https://app.tradingflow.com/app/option-trades/historical) and set Symbol = SPY, date = 2026-08-17 yourself.*

What the SPY tape can say on this snapshot:

- Visible [option flow](https://tradingflow.com/docs/glossary/option-flow/) size on the rows is mostly **1-35 lots**, not a 500-lot ETH call.
- Side is **Bid / Mid / Ask**. That is quote location.

What it cannot say: that anyone "bought" those contracts, that they opened, or that they belong to one book. That is the same evidence-boundary we use on every tape post.

His public [US buyer scanner](https://github.com/wepoets1107/us-options-buyer-strategy) uses a related gate (IV percentile, VRP, priced move versus historical earnings move) and then emits Long Call / Long Put / Long Straddle. This article does not reproduce those buy recommendations.

## "RV in the 20s, so switch to +gamma"

A few hours after the daily note, he posted: [RV已经降低到2字头，大波应该不远了。调正gamma，准备迎接升波。](https://x.com/wepoets1107/status/2089178389961941024)

On this SPY snapshot the index **already reads positive GEX**. SPY IV30 is **12.7%** with IV Rank **4.8%**. The first five boxes can be filled. The sixth sentence does not travel: positive GEX here is structure, not a reason to flip a book, and collapsed BTC HV is not a signal that SPY vol must expand.

## The same five boxes, on one snapshot

| Box in the 冰火岛 note | BTC / ETH in the original | SPY, August 17, 2026 |
| --- | --- | --- |
| Gamma pin | BTC near 63k on 21AUG; ETH 1,950-2,000 | Positive GEX. Flip **$773.59**. 0DTE top **$777**. Put wall **$765** |
| Skew | BTC **+5.9%** call premium; ETH **−0.7%** | 25Δ skew **+4.1 pts** put premium |
| VRP | BTC IV 24.7% vs HV 20.7% (**+4%**); ETH **+5.1%** | IV30 **12.66%**, RV20 **13.34%**, spread **−0.7 pts** |
| Expiry OI | BTC 21AUG 18,068 / 28AUG 62,487 | Weekly GEX **34.6%**. Aug 21 $775 call OI **54,464** |
| Named print | ETH 1,900C 500 lots, labelled a buy | Many small SPY prints. Side = Bid/Mid/Ask |

## Reproduce the checklist

1. Open [Rank Symbols](https://app.tradingflow.com/app/rank/symbols) → **Vol** → symbol **SPY** → session **August 17, 2026**.
2. Record IV30, RV20, IV30−RV20, IV Rank, 25Δ skew, term slope. Confirm the IV snapshot date and the RV through-date in the **Vol** drawer.
3. Open **Gamma Exposure**. Record environment, flip, walls, and the 0DTE / weekly / monthly mix.
4. Open [Historical Option Trades](https://app.tradingflow.com/app/option-trades/historical). Mode **Historical**, symbol **SPY**, date **2026-08-17**, time range **Full day**. Clear extra sentiment filters if a saved view is active.
5. Write five lines. Stop before "therefore buy/sell."

## Related reading

- [IV30 vs RV20: see implied and realized volatility side by side](https://tradingflow.com/blogs/iv30-vs-rv20-volatility-screener/)
- [Direction can be right and calls still lose: the July-August single-name IV crush](https://tradingflow.com/blogs/july-august-single-name-iv-crush/)
- [SPY / SPX / QQQ 0DTE evidence loop](https://tradingflow.com/blogs/0dte-spy-spx-qqq-evidence-loop/)

## Learn more

- [IV Rank](https://tradingflow.com/docs/glossary/implied-volatility-rank/) · [IV crush](https://tradingflow.com/docs/glossary/iv-crush/) · [Gamma exposure](https://tradingflow.com/docs/glossary/gamma-exposure/) · [Option flow](https://tradingflow.com/docs/glossary/option-flow/)
- [Rank Symbols](https://tradingflow.com/docs/rank-symbols/) · [Greeks and GEX](https://tradingflow.com/docs/greeks-and-gex/) · [Option Trades](https://tradingflow.com/docs/option-trades/)

## Open the app

[TradingFlow App Home](https://app.tradingflow.com/app/home) → [Rank Symbols](https://app.tradingflow.com/app/rank/symbols) for the dated IV / RV / GEX boxes → [Historical Option Trades](https://app.tradingflow.com/app/option-trades/historical) for the tape box.

Educational market-structure research only, not investment advice. Options involve substantial risk of loss.

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Research and education, not investment advice.