{"slug":"does-theta-decay-over-the-weekend","qid":"iv_weekday","label":"Average near-the-money SPY implied volatility by weekday, first half of 2026","post_title":"Does Theta Decay Over the Weekend?","post_url":"/blog/does-theta-decay-over-the-weekend#q-iv_weekday","columns":["bucket","avg_iv_pct","weekday_spread_pts"],"rows":[{"bucket":"Monday","avg_iv_pct":16.93,"weekday_spread_pts":0.22},{"bucket":"Tuesday","avg_iv_pct":16.74,"weekday_spread_pts":0.22},{"bucket":"Wednesday","avg_iv_pct":16.78,"weekday_spread_pts":0.22},{"bucket":"Thursday","avg_iv_pct":16.78,"weekday_spread_pts":0.22},{"bucket":"Friday","avg_iv_pct":16.96,"weekday_spread_pts":0.22}],"shape":"ranking","sql":"SELECT\n    ['Monday', 'Tuesday', 'Wednesday', 'Thursday', 'Friday'][dow] AS bucket,\n    round(avg_iv * 100, 2)                                        AS avg_iv_pct,\n    round((max(avg_iv) OVER () - min(avg_iv) OVER ()) * 100, 2)   AS weekday_spread_pts\nFROM\n(\n    SELECT\n        toDayOfWeek(date)       AS dow,\n        avg(implied_volatility) AS avg_iv\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'SPY'\n      AND date >= '2026-01-02'\n      AND date <  '2026-07-01'\n      AND iv_converged = 1\n      AND volume > 0\n      AND days_to_expiry BETWEEN 20 AND 45\n      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05\n      AND toDayOfWeek(date) <= 5\n    GROUP BY dow\n)\nORDER BY dow ASC","computed_at":"2026-08-18T14:58:30.339456+00:00","elapsed":0.074294958}