{"slug":"buying-puts-vs-buying-calls","qid":"skew_persistence","label":"skew_persistence","post_title":"buying-puts-vs-buying-calls","post_url":"/blog/buying-puts-vs-buying-calls#q-skew_persistence","columns":["month","put_25d_iv_pct","call_25d_iv_pct","skew_spread_pct"],"rows":[{"month":"2024-09-01","put_25d_iv_pct":17.51,"call_25d_iv_pct":11.9,"skew_spread_pct":5.61},{"month":"2024-10-01","put_25d_iv_pct":18.78,"call_25d_iv_pct":13.57,"skew_spread_pct":5.21},{"month":"2024-11-01","put_25d_iv_pct":15.3,"call_25d_iv_pct":11.29,"skew_spread_pct":4.01},{"month":"2024-12-01","put_25d_iv_pct":14.54,"call_25d_iv_pct":10.1,"skew_spread_pct":4.44},{"month":"2025-01-01","put_25d_iv_pct":16.03,"call_25d_iv_pct":11.92,"skew_spread_pct":4.1},{"month":"2025-02-01","put_25d_iv_pct":16.62,"call_25d_iv_pct":11.22,"skew_spread_pct":5.4},{"month":"2025-03-01","put_25d_iv_pct":22.19,"call_25d_iv_pct":15.81,"skew_spread_pct":6.37},{"month":"2025-04-01","put_25d_iv_pct":31.99,"call_25d_iv_pct":24.6,"skew_spread_pct":7.39},{"month":"2025-05-01","put_25d_iv_pct":21.32,"call_25d_iv_pct":14.91,"skew_spread_pct":6.41},{"month":"2025-06-01","put_25d_iv_pct":18.49,"call_25d_iv_pct":12.53,"skew_spread_pct":5.97},{"month":"2025-07-01","put_25d_iv_pct":16.34,"call_25d_iv_pct":11.95,"skew_spread_pct":4.39},{"month":"2025-08-01","put_25d_iv_pct":16,"call_25d_iv_pct":10.64,"skew_spread_pct":5.36},{"month":"2025-09-01","put_25d_iv_pct":16.2,"call_25d_iv_pct":10.37,"skew_spread_pct":5.82},{"month":"2025-10-01","put_25d_iv_pct":18.19,"call_25d_iv_pct":12.8,"skew_spread_pct":5.39},{"month":"2025-11-01","put_25d_iv_pct":20.17,"call_25d_iv_pct":13.56,"skew_spread_pct":6.61},{"month":"2025-12-01","put_25d_iv_pct":15.89,"call_25d_iv_pct":10.76,"skew_spread_pct":5.14},{"month":"2026-01-01","put_25d_iv_pct":16.1,"call_25d_iv_pct":11.32,"skew_spread_pct":4.78},{"month":"2026-02-01","put_25d_iv_pct":20.2,"call_25d_iv_pct":12.81,"skew_spread_pct":7.39},{"month":"2026-03-01","put_25d_iv_pct":26.18,"call_25d_iv_pct":16.51,"skew_spread_pct":9.67},{"month":"2026-04-01","put_25d_iv_pct":20.93,"call_25d_iv_pct":13.58,"skew_spread_pct":7.35},{"month":"2026-05-01","put_25d_iv_pct":17.51,"call_25d_iv_pct":12.63,"skew_spread_pct":4.88},{"month":"2026-06-01","put_25d_iv_pct":18.25,"call_25d_iv_pct":12.91,"skew_spread_pct":5.34},{"month":"2026-07-01","put_25d_iv_pct":17.39,"call_25d_iv_pct":11.98,"skew_spread_pct":5.41},{"month":"2026-08-01","put_25d_iv_pct":15.38,"call_25d_iv_pct":10.97,"skew_spread_pct":4.42}],"shape":"series","sql":"SELECT\n    toString(toStartOfMonth(date))                                                       AS month,\n    round(avgIf(toFloat64(implied_volatility), delta BETWEEN -0.30 AND -0.20) * 100, 2)  AS put_25d_iv_pct,\n    round(avgIf(toFloat64(implied_volatility), delta BETWEEN  0.20 AND  0.30) * 100, 2)  AS call_25d_iv_pct,\n    round((avgIf(toFloat64(implied_volatility), delta BETWEEN -0.30 AND -0.20)\n         - avgIf(toFloat64(implied_volatility), delta BETWEEN  0.20 AND  0.30)) * 100, 2) AS skew_spread_pct\nFROM global_markets.options_greeks\nWHERE underlying_symbol = 'SPY'\n  AND date >= '2024-09-01'\n  AND date <  '2026-09-01'\n  AND iv_converged = 1\n  AND volume > 0\n  AND days_to_expiry BETWEEN 20 AND 45\nGROUP BY month\nHAVING countIf(delta BETWEEN -0.30 AND -0.20) > 0\n   AND countIf(delta BETWEEN 0.20 AND 0.30) > 0\nORDER BY month","computed_at":"2026-09-30T15:04:04.211316+00:00","elapsed":0.003449736}