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.
| otm_distance | put_iv_pct | call_iv_pct | put_minus_call_pct |
|---|---|---|---|
| 0% | 14.73 | 13.37 | 1.35 |
| 2% | 15.99 | 12.34 | 3.65 |
| 4% | 17.82 | 11.38 | 6.43 |
| 6% | 19.65 | 11.21 | 8.44 |
| 8% | 21.77 | 11.89 | 9.88 |
| 10% | 23.51 | 12.85 | 10.66 |
- Rows × columns
- 6 × 4
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
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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