{"slug":"event-contract-collateral-and-max-loss","qid":"naked_put_mark","label":"Near the money SPY put marks, May to June 2026","post_title":"Event Contract Collateral and Max Loss","post_url":"/blog/event-contract-collateral-and-max-loss#q-naked_put_mark","columns":["session_date","session_label","atm_put_mark","atm_iv_pct"],"rows":[{"session_date":"2026-05-01","session_label":"May 1","atm_put_mark":10.75,"atm_iv_pct":14},{"session_date":"2026-05-04","session_label":"May 4","atm_put_mark":12.9,"atm_iv_pct":15.8},{"session_date":"2026-05-05","session_label":"May 5","atm_put_mark":12.81,"atm_iv_pct":16.4},{"session_date":"2026-05-06","session_label":"May 6","atm_put_mark":11.85,"atm_iv_pct":14.7},{"session_date":"2026-05-07","session_label":"May 7","atm_put_mark":11.73,"atm_iv_pct":14.7},{"session_date":"2026-05-08","session_label":"May 8","atm_put_mark":11.67,"atm_iv_pct":15.2},{"session_date":"2026-05-11","session_label":"May 11","atm_put_mark":12.23,"atm_iv_pct":16},{"session_date":"2026-05-12","session_label":"May 12","atm_put_mark":12.52,"atm_iv_pct":15.7},{"session_date":"2026-05-13","session_label":"May 13","atm_put_mark":12.03,"atm_iv_pct":16.2},{"session_date":"2026-05-14","session_label":"May 14","atm_put_mark":11.6,"atm_iv_pct":15.2},{"session_date":"2026-05-15","session_label":"May 15","atm_put_mark":12.32,"atm_iv_pct":15.2},{"session_date":"2026-05-18","session_label":"May 18","atm_put_mark":13.8,"atm_iv_pct":16.7},{"session_date":"2026-05-19","session_label":"May 19","atm_put_mark":13.07,"atm_iv_pct":16.3},{"session_date":"2026-05-20","session_label":"May 20","atm_put_mark":11.54,"atm_iv_pct":14.5},{"session_date":"2026-05-21","session_label":"May 21","atm_put_mark":11.83,"atm_iv_pct":15.8},{"session_date":"2026-05-22","session_label":"May 22","atm_put_mark":10.92,"atm_iv_pct":13.9},{"session_date":"2026-05-26","session_label":"May 26","atm_put_mark":11.79,"atm_iv_pct":15.7},{"session_date":"2026-05-27","session_label":"May 27","atm_put_mark":10.97,"atm_iv_pct":14.7},{"session_date":"2026-05-28","session_label":"May 28","atm_put_mark":10.64,"atm_iv_pct":14.5},{"session_date":"2026-05-29","session_label":"May 29","atm_put_mark":10.35,"atm_iv_pct":13.6},{"session_date":"2026-06-01","session_label":"Jun 1","atm_put_mark":10.09,"atm_iv_pct":13.5},{"session_date":"2026-06-02","session_label":"Jun 2","atm_put_mark":11,"atm_iv_pct":14.6},{"session_date":"2026-06-03","session_label":"Jun 3","atm_put_mark":10.38,"atm_iv_pct":12.8},{"session_date":"2026-06-04","session_label":"Jun 4","atm_put_mark":9.93,"atm_iv_pct":13},{"session_date":"2026-06-05","session_label":"Jun 5","atm_put_mark":13.93,"atm_iv_pct":17.4},{"session_date":"2026-06-08","session_label":"Jun 8","atm_put_mark":12.54,"atm_iv_pct":16.1},{"session_date":"2026-06-09","session_label":"Jun 9","atm_put_mark":14.7,"atm_iv_pct":18.3},{"session_date":"2026-06-10","session_label":"Jun 10","atm_put_mark":14.21,"atm_iv_pct":18.1},{"session_date":"2026-06-11","session_label":"Jun 11","atm_put_mark":15.74,"atm_iv_pct":19.4},{"session_date":"2026-06-12","session_label":"Jun 12","atm_put_mark":13.27,"atm_iv_pct":17},{"session_date":"2026-06-15","session_label":"Jun 15","atm_put_mark":10.72,"atm_iv_pct":14.2},{"session_date":"2026-06-16","session_label":"Jun 16","atm_put_mark":11.73,"atm_iv_pct":14.6},{"session_date":"2026-06-17","session_label":"Jun 17","atm_put_mark":15.28,"atm_iv_pct":18.3},{"session_date":"2026-06-18","session_label":"Jun 18","atm_put_mark":11.17,"atm_iv_pct":13.9},{"session_date":"2026-06-22","session_label":"Jun 22","atm_put_mark":11.38,"atm_iv_pct":14.5},{"session_date":"2026-06-23","session_label":"Jun 23","atm_put_mark":13.33,"atm_iv_pct":16.6},{"session_date":"2026-06-24","session_label":"Jun 24","atm_put_mark":13.94,"atm_iv_pct":17.6},{"session_date":"2026-06-25","session_label":"Jun 25","atm_put_mark":12.76,"atm_iv_pct":15.9},{"session_date":"2026-06-26","session_label":"Jun 26","atm_put_mark":12.27,"atm_iv_pct":15.6},{"session_date":"2026-06-29","session_label":"Jun 29","atm_put_mark":11.95,"atm_iv_pct":15.1},{"session_date":"2026-06-30","session_label":"Jun 30","atm_put_mark":10.87,"atm_iv_pct":13.7}],"shape":"series","sql":"SELECT\n    toString(date)                                            AS session_date,\n    formatDateTime(date, '%b %e')                             AS session_label,\n    toDecimal64(round(avg(toFloat64(option_close)), 2), 2)    AS atm_put_mark,\n    round(100 * avg(implied_volatility), 1)                   AS atm_iv_pct\nFROM global_markets.options_greeks\nWHERE underlying_symbol = 'SPY'\n  AND lower(option_type) IN ('put', 'p')\n  AND date >= '2026-05-01'\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 underlying_close > 0\n  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02\nGROUP BY date\nORDER BY date","computed_at":"2026-08-22T04:05:31.406153+00:00","elapsed":0.116214587}