STRASMORE/EXPLORE 2,830 QUERIES

skew_curve

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 2026-09-30, from buying-puts-vs-buying-calls.

as of ranking 6×4read in context →
skew_curve — 6 rows by 4 columns, computed from US exchange, SIP and OPRA data.
otm_distanceput_iv_pctcall_iv_pctput_minus_call_pct
0%14.7313.371.35
2%15.9912.343.65
4%17.8211.386.43
6%19.6511.218.44
8%21.7711.899.88
10%23.5112.8510.66
Rows × columns
6 × 4
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 skew_curve, derived from the stored result.
ColumnTypeRangeNotes
otm_distance text 6 distinct values (0%, 10%, 2%…)
put_iv_pct number 14.73 to 23.51 percent
call_iv_pct number 11.21 to 13.37 percent
put_minus_call_pct number 1.35 to 10.66 percent

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.

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
    concat(toString(otm_bin), '%')                                       AS otm_distance,
    round(avgIf(iv, side = 'put') * 100, 2)                              AS put_iv_pct,
    round(avgIf(iv, side = 'call') * 100, 2)                             AS call_iv_pct,
    round((avgIf(iv, side = 'put') - avgIf(iv, side = 'call')) * 100, 2) AS put_minus_call_pct
FROM
(
    SELECT
        if(lower(option_type) LIKE 'p%', 'put', 'call')                  AS side,
        toFloat64(implied_volatility)                                    AS iv,
        toInt32(round(abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 50) * 2) AS otm_bin
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= '2026-06-01'
      AND date <  '2026-09-01'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.10
      AND ((lower(option_type) LIKE 'p%'     AND toFloat64(strike_price) <= toFloat64(underlying_close))
        OR (lower(option_type) NOT LIKE 'p%' AND toFloat64(strike_price) >= toFloat64(underlying_close)))
)
GROUP BY otm_bin
HAVING countIf(side = 'put') > 0 AND countIf(side = 'call') > 0
ORDER BY otm_bin
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