How to read the S&P 500 heatmap

Every tile is one company in the S&P 500, grouped into its sector. How big the tile is tells you how much the company is worth; what colour it is tells you how its share price has moved over the window you picked. Green is up, red is down, and the deeper the shade the larger the move.

Grouping by sector is what makes the map worth looking at rather than just a list. A day when energy is uniformly green and technology is uniformly red looks completely different from a day when the index moved the same amount because two large companies did all the work. A ranked table hides that; a map cannot.

A 3% move in one day is dramatic. A 3% move over a year is noise. If the same colour scale were used for both, the one-day view would be almost entirely grey and the one-year view almost entirely saturated, and neither would tell you anything.

So the scale is tied to the window. It reaches full colour at roughly 3% over one day, 6% over a week, 10% over a month, 18% over three months, 25% over six months, 30% year to date, and 40% over a year. A vivid tile always means "a large move for this timeframe", whichever timeframe you are looking at.

The practical consequence: colours are comparable within a view and not between views. A deep green tile on 1D and a deep green tile on 1Y are not the same achievement.

Tiles are sized by the square root of market capitalisation, not by market capitalisation itself. The range in the index is enormous - the largest company is worth several thousand times the smallest - and at true proportion a handful of megacaps would fill the screen and the remaining several hundred companies would be invisible slivers.

The square root compresses that range while keeping the ordering intact: bigger companies still get bigger tiles, just not overwhelmingly so. There is also a floor, so no constituent shrinks below about 3% of the largest tile and every company stays large enough to see and click.

This is a deliberate distortion and worth knowing about. If you are trying to judge how much of the index a sector represents by eye, the map will understate the giants and overstate the tail.

It shows price, not value. A company can be deep green for a week and still be more expensive than it is worth, or deep red and still overpriced. Colour is a record of what happened, not a judgement about what should have.

It shows the index, not the market. The S&P 500 is large-cap US equity. Small caps, and anything listed elsewhere, are simply not here, and a day that looks calm on this map can be violent somewhere else.

And it shows a moment. The one-day view is the most-watched and the least informative: most single sessions are noise, and the same map on a three-month window frequently tells the opposite story. If you only ever look at 1D you will mistake weather for climate.

Constituents, sectors and company sizes are rebuilt from company filings rather than copied from a data vendor, and price changes are computed from the same daily closes the rest of the site uses, so a figure here and the same figure on a company page cannot disagree.

Where a company's size cannot be established with confidence, the map shows no figure for it rather than a guess. An absent number is a gap; a wrong number is worse than a gap.

Each tile links to that company's page, where the same move is shown alongside the financial statements, cash flow history, dividend record and valuation multiples behind it.