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Near-the-money implied volatility into a cash close (ATVI, 2023)

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-09, from How Options Adjust After Mergers & Spinoffs.

as of series 83×4read in context →
Near-the-money implied volatility into a cash close (ATVI, 2023) — 83 rows by 4 columns, computed from US exchange, SIP and OPRA data.
session_datesession_labelatm_iv_pctcontracts_counted
2023-06-15June 15, 202329.436
2023-06-16June 16, 202327.831
2023-06-20June 20, 202332.332
2023-06-21June 21, 202335.831
2023-06-22June 22, 202338.139
2023-06-23June 23, 202338.628
2023-06-26June 26, 20234232
2023-06-27June 27, 202340.231
2023-06-28June 28, 202343.625
2023-06-29June 29, 202341.635
2023-06-30June 30, 202342.634
2023-07-03July 3, 202344.214
2023-07-05July 5, 202347.131
2023-07-06July 6, 202347.418
2023-07-07July 7, 202349.129
2023-07-10July 10, 202344.715
2023-07-11July 11, 20232547
2023-07-12July 12, 202330.948
2023-07-13July 13, 202327.632
2023-07-14July 14, 202319.423
2023-07-17July 17, 202321.426
2023-07-18July 18, 20232129
2023-07-19July 19, 202315.533
2023-07-20July 20, 202315.328
2023-07-21July 21, 202316.236
2023-07-24July 24, 202315.225
2023-07-25July 25, 202315.425
2023-07-26July 26, 202313.923
2023-07-27July 27, 202316.428
2023-07-28July 28, 202314.528
2023-07-31July 31, 202314.122
2023-08-01August 1, 202316.825
2023-08-02August 2, 20231724
2023-08-03August 3, 202316.624
2023-08-04August 4, 20231825
2023-08-07August 7, 202318.321
2023-08-08August 8, 202317.521
2023-08-09August 9, 202319.829
2023-08-10August 10, 202318.121
2023-08-11August 11, 202320.326
2023-08-14August 14, 202320.418
2023-08-15August 15, 202318.419
2023-08-16August 16, 202318.418
2023-08-17August 17, 202319.523
2023-08-18August 18, 202319.730
2023-08-21August 21, 202319.624
2023-08-22August 22, 202312.332
2023-08-23August 23, 202311.424
2023-08-24August 24, 202310.825
2023-08-25August 25, 202311.526
2023-08-28August 28, 202310.914
2023-08-29August 29, 202312.116
2023-08-30August 30, 202311.912
2023-08-31August 31, 202312.115
2023-09-01September 1, 202312.918
2023-09-05September 5, 202314.426
2023-09-06September 6, 202314.419
2023-09-07September 7, 202314.220
2023-09-08September 8, 202314.529
2023-09-11September 11, 202313.819
2023-09-12September 12, 202314.918
2023-09-13September 13, 20231521
2023-09-14September 14, 202315.219
2023-09-15September 15, 202316.924
2023-09-18September 18, 202318.822
2023-09-19September 19, 202318.727
2023-09-20September 20, 202317.624
2023-09-21September 21, 202315.821
2023-09-22September 22, 202310.244
2023-09-25September 25, 20231025
2023-09-26September 26, 202310.315
2023-09-27September 27, 202310.919
2023-09-28September 28, 202313.326
2023-09-29September 29, 202313.720
2023-10-02October 2, 202310.88
2023-10-03October 3, 202310.513
2023-10-04October 4, 20239.515
2023-10-05October 5, 202310.913
2023-10-06October 6, 202310.316
2023-10-09October 9, 20236.911
2023-10-10October 10, 20237.611
2023-10-11October 11, 20236.812
2023-10-12October 12, 20237.19
Rows × columns
83 × 4
Period covered
to
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for Near-the-money implied volatility into a cash close (ATVI, 2023), derived from the stored result.
ColumnTypeRangeNotes
session_date date 2023-06-15 to 2023-10-12
session_label text 83 distinct values
atm_iv_pct number 6.8 to 49.1 percent
contracts_counted number 8 to 48 count

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.

the exact SQL behind every number 
SELECT
    toString(date)                                                             AS session_date,
    concat(monthName(toDate(date)), ' ', toString(toDayOfMonth(toDate(date))),
           ', ', toString(toYear(toDate(date))))                              AS session_label,
    round(100 * avg(implied_volatility), 1)                                    AS atm_iv_pct,
    uniqExact(ticker)                                                          AS contracts_counted
FROM global_markets.options_greeks
WHERE underlying_symbol = 'ATVI'
  AND date BETWEEN '2023-06-15' AND '2023-10-20'
  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
ORDER BY date

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