iv

Run it yourself

This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.

SELECT
    toString(date)                                       AS session_date,
    formatDateTime(date, '%d %b %Y')                     AS as_of,
    round(avg(toFloat64(implied_volatility)) * 100, 1)   AS atm_iv_pct,
    count()                                              AS contracts
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
  AND date >= today() - 90
  AND iv_converged = 1
  AND volume > 0
  AND days_to_expiry BETWEEN 20 AND 45
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY date
HAVING count() >= 5
ORDER BY date