Average near-the-money SPY implied volatility by weekday, first half of 2026

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 2026-08-18, from Does Theta Decay Over the Weekend?.

Rows × columns

5 × 3

Computed

2026-08-18

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

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 2026-08-18, and the query below is what returned them.

SELECT
    ['Monday', 'Tuesday', 'Wednesday', 'Thursday', 'Friday'][dow] AS bucket,
    round(avg_iv * 100, 2)                                        AS avg_iv_pct,
    round((max(avg_iv) OVER () - min(avg_iv) OVER ()) * 100, 2)   AS weekday_spread_pts
FROM
(
    SELECT
        toDayOfWeek(date)       AS dow,
        avg(implied_volatility) AS avg_iv
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= '2026-01-02'
      AND date <  '2026-07-01'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
      AND toDayOfWeek(date) <= 5
    GROUP BY dow
)
ORDER BY dow ASC