什麼是波動率偏斜？用數據看選擇權微笑

SELECT concat(toString(round(100 * b)), '% of spot') AS strike_vs_spot,
       round(100 * median(implied_volatility), 1) AS otm_iv_pct
FROM (
    SELECT implied_volatility, round(strike_price / underlying_close / 0.05) * 0.05 AS b, option_type
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY' AND date = toDate('2026-07-15')
      AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
      AND strike_price / underlying_close BETWEEN 0.83 AND 1.12
      AND expiration_date BETWEEN date + 20 AND date + 45
)
WHERE (b < 1 AND option_type = 'P') OR (b > 1 AND option_type = 'C') OR b = 1
GROUP BY b
HAVING count() >= 10
ORDER BY b

SELECT count() AS underlyings,
       countIf(put_iv > call_iv) AS puts_richer,
       round(100.0 * countIf(put_iv > call_iv) / count(), 1) AS pct_puts_richer,
       round(100 * quantileExact(0.5)(put_iv - call_iv), 1) AS median_skew_points
FROM (
    SELECT underlying_symbol,
           medianIf(implied_volatility, option_type = 'P' AND strike_price / underlying_close BETWEEN 0.85 AND 0.95) AS put_iv,
           medianIf(implied_volatility, option_type = 'C' AND strike_price / underlying_close BETWEEN 1.05 AND 1.15) AS call_iv
    FROM global_markets.options_greeks
    WHERE date = toDate('2026-07-15') AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
      AND expiration_date BETWEEN date + 20 AND date + 60
    GROUP BY underlying_symbol
    HAVING countIf(option_type = 'P' AND strike_price / underlying_close BETWEEN 0.85 AND 0.95) >= 5
       AND countIf(option_type = 'C' AND strike_price / underlying_close BETWEEN 1.05 AND 1.15) >= 5
       AND sum(volume) >= 500
)
WHERE put_iv > 0 AND call_iv > 0

SELECT underlying_symbol AS ticker,
       round(100 * call_iv, 1) AS otm_call_iv_pct,
       round(100 * put_iv, 1) AS otm_put_iv_pct,
       round(100 * (call_iv - put_iv), 1) AS call_over_put_points
FROM (
    SELECT underlying_symbol,
           medianIf(implied_volatility, option_type = 'P' AND strike_price / underlying_close BETWEEN 0.85 AND 0.95) AS put_iv,
           medianIf(implied_volatility, option_type = 'C' AND strike_price / underlying_close BETWEEN 1.05 AND 1.15) AS call_iv
    FROM global_markets.options_greeks
    WHERE date = toDate('2026-07-15') AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
      AND expiration_date BETWEEN date + 20 AND date + 60
      AND underlying_symbol NOT IN ('KORU','SOXL','SOXS','TQQQ','SQQQ','NVDL','NVDS','NVD','TSLL','TSLQ','TSLZ','SPXL','SPXS','UPRO','SPXU','LABU','LABD','FAS','FAZ','TNA','TZA','YINN','YANG','UDOW','SDOW','BOIL','KOLD','UCO','SCO','USD','SSO','SDS','QLD','QID','ERX','ERY','DRN','DRV','CURE','SOXY','MUU','SNXX','UVXY','SVXY','UVIX','SVIX','BULZ','WEBL','WEBS','DPST','DRIP','GUSH','AGQ','ZSL','BITX','ETHU','MSTX','MSTU','CONL','DUST','JNUG','JDST','NUGT','AMDL','NUAI','VXX','VIXY')
    GROUP BY underlying_symbol
    HAVING countIf(option_type = 'P' AND strike_price / underlying_close BETWEEN 0.85 AND 0.95) >= 5
       AND countIf(option_type = 'C' AND strike_price / underlying_close BETWEEN 1.05 AND 1.15) >= 5
       AND sum(volume) >= 2000
)
WHERE put_iv > 0 AND call_iv > 0 AND call_iv > put_iv
ORDER BY call_over_put_points DESC
LIMIT 8