Implied probability vs what happened: SPY calls 30 days from expiry, 2022 through June 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 2026-08-03, from Event Contract Prices as Probabilities.
| implied_bucket | contracts | implied_prob_pct | finished_above_pct |
|---|---|---|---|
| 2-10% | 4276 | 4.7 | 4.9 |
| 10-20% | 2262 | 14.8 | 19.1 |
| 20-30% | 1874 | 25 | 32.3 |
| 30-40% | 1832 | 35 | 42.8 |
| 40-50% | 1933 | 45 | 52.6 |
| 50-60% | 2213 | 55.1 | 60.9 |
| 60-70% | 2581 | 65.2 | 70.6 |
| 70-80% | 3071 | 75.2 | 79.2 |
| 80-90% | 3858 | 85.3 | 91.1 |
| 90-98% | 4806 | 94.3 | 97.8 |
- Rows × columns
- 10 × 4
- 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 |
|---|---|---|---|
implied_bucket |
text | 10 distinct values (10-20%, 2-10%, 20-30%…) | |
contracts |
number | 1,832 to 4,806 | count |
implied_prob_pct |
number | 4.7 to 94.3 | percent |
finished_above_pct |
number | 4.9 to 97.8 | 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.
WITH px AS (
SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS session,
argMax(toFloat64(close), window_start) AS close_px
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND toDate(toTimeZone(window_start, 'America/New_York')) >= toDate('2022-01-01')
AND toDate(toTimeZone(window_start, 'America/New_York')) <= toDate('2026-06-30')
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY session
),
snap AS (
SELECT ticker AS contract,
argMin(delta, abs(days_to_expiry - 30)) AS implied_prob,
toFloat64(any(strike_price)) AS strike,
any(expiration_date) AS expiry
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date >= toDate('2022-01-01')
AND expiration_date <= toDate('2026-06-30')
AND days_to_expiry BETWEEN 25 AND 35
AND iv_converged = 1
AND volume > 0
AND delta > 0.02
AND delta < 0.98
GROUP BY contract
)
SELECT multiIf(implied_prob < 0.10, '2-10%',
implied_prob < 0.20, '10-20%',
implied_prob < 0.30, '20-30%',
implied_prob < 0.40, '30-40%',
implied_prob < 0.50, '40-50%',
implied_prob < 0.60, '50-60%',
implied_prob < 0.70, '60-70%',
implied_prob < 0.80, '70-80%',
implied_prob < 0.90, '80-90%',
'90-98%') AS implied_bucket,
count() AS contracts,
round(100 * avg(implied_prob), 1) AS implied_prob_pct,
round(100 * avg(close_px > strike), 1) AS finished_above_pct
FROM snap
INNER JOIN px ON px.session = snap.expiry
GROUP BY implied_bucket
ORDER BY implied_prob_pct
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