skew_persistence
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.
| month | put_25d_iv_pct | call_25d_iv_pct | skew_spread_pct |
|---|---|---|---|
| 2024-09-01 | 17.51 | 11.9 | 5.61 |
| 2024-10-01 | 18.78 | 13.57 | 5.21 |
| 2024-11-01 | 15.3 | 11.29 | 4.01 |
| 2024-12-01 | 14.54 | 10.1 | 4.44 |
| 2025-01-01 | 16.03 | 11.92 | 4.1 |
| 2025-02-01 | 16.62 | 11.22 | 5.4 |
| 2025-03-01 | 22.19 | 15.81 | 6.37 |
| 2025-04-01 | 31.99 | 24.6 | 7.39 |
| 2025-05-01 | 21.32 | 14.91 | 6.41 |
| 2025-06-01 | 18.49 | 12.53 | 5.97 |
| 2025-07-01 | 16.34 | 11.95 | 4.39 |
| 2025-08-01 | 16 | 10.64 | 5.36 |
| 2025-09-01 | 16.2 | 10.37 | 5.82 |
| 2025-10-01 | 18.19 | 12.8 | 5.39 |
| 2025-11-01 | 20.17 | 13.56 | 6.61 |
| 2025-12-01 | 15.89 | 10.76 | 5.14 |
| 2026-01-01 | 16.1 | 11.32 | 4.78 |
| 2026-02-01 | 20.2 | 12.81 | 7.39 |
| 2026-03-01 | 26.18 | 16.51 | 9.67 |
| 2026-04-01 | 20.93 | 13.58 | 7.35 |
| 2026-05-01 | 17.51 | 12.63 | 4.88 |
| 2026-06-01 | 18.25 | 12.91 | 5.34 |
| 2026-07-01 | 17.39 | 11.98 | 5.41 |
| 2026-08-01 | 15.38 | 10.97 | 4.42 |
- Rows × columns
- 24 × 4
- Period covered
- to
- 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 |
|---|---|---|---|
month |
date | 2024-09-01 to 2026-08-01 | |
put_25d_iv_pct |
number | 14.54 to 31.99 | percent |
call_25d_iv_pct |
number | 10.1 to 24.6 | percent |
skew_spread_pct |
number | 4.01 to 9.67 | 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
toString(toStartOfMonth(date)) AS month,
round(avgIf(toFloat64(implied_volatility), delta BETWEEN -0.30 AND -0.20) * 100, 2) AS put_25d_iv_pct,
round(avgIf(toFloat64(implied_volatility), delta BETWEEN 0.20 AND 0.30) * 100, 2) AS call_25d_iv_pct,
round((avgIf(toFloat64(implied_volatility), delta BETWEEN -0.30 AND -0.20)
- avgIf(toFloat64(implied_volatility), delta BETWEEN 0.20 AND 0.30)) * 100, 2) AS skew_spread_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date >= '2024-09-01'
AND date < '2026-09-01'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
GROUP BY month
HAVING countIf(delta BETWEEN -0.30 AND -0.20) > 0
AND countIf(delta BETWEEN 0.20 AND 0.30) > 0
ORDER BY month
Work with this data in your AI assistant
Opens ready to query, with this page's data. Free, no account.