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iv_levels

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 2026-09-23, from gld-implied-volatility.

as of series 60×4read in context →
iv_levels — 60 rows by 4 columns, computed from US exchange, SIP and OPRA data.
monthmonth_labelgld_atm_iv_pctspy_atm_iv_pct
2021-09-01Sep 202114.1915.08
2021-10-01Oct 202114.414.78
2021-11-01Nov 202114.8714.45
2021-12-01Dec 202114.1516.74
2022-01-01Jan 202213.9519.21
2022-02-01Feb 202215.2721.84
2022-03-01Mar 202221.6122.61
2022-04-01Apr 202216.6820.14
2022-05-01May 202217.0526.45
2022-06-01Jun 202215.8525.2
2022-07-01Jul 202217.1722.93
2022-08-01Aug 202215.0220.02
2022-09-01Sep 202216.8924.96
2022-10-01Oct 202218.2227.84
2022-11-01Nov 202215.8722.7
2022-12-01Dec 202214.5620.81
2023-01-01Jan 202315.2219.36
2023-02-01Feb 202314.4418.87
2023-03-01Mar 202316.7120.07
2023-04-01Apr 202316.5116.49
2023-05-01May 202316.1615.73
2023-06-01Jun 202312.8312.58
2023-07-01Jul 202311.912.98
2023-08-01Aug 202311.7514.34
2023-09-01Sep 202310.8413.65
2023-10-01Oct 202314.6217.04
2023-11-01Nov 202312.6813.13
2023-12-01Dec 202313.4712.14
2024-01-01Jan 202412.2712.47
2024-02-01Feb 202410.9612.55
2024-03-01Mar 202412.7212.57
2024-04-01Apr 202416.7114.71
2024-05-01May 202415.1612.27
2024-06-01Jun 202414.711.76
2024-07-01Jul 202414.9413.3
2024-08-01Aug 20241716.01
2024-09-01Sep 202416.1915.06
2024-10-01Oct 202416.9216.58
2024-11-01Nov 202416.0613.77
2024-12-01Dec 202414.512.71
2025-01-01Jan 202514.2614.4
2025-02-01Feb 202515.5514.1
2025-03-01Mar 202515.6319.02
2025-04-01Apr 202521.3227.22
2025-05-01May 202520.2118.48
2025-06-01Jun 202517.8815.86
2025-07-01Jul 202516.0714.96
2025-08-01Aug 202514.9113.72
2025-09-01Sep 202516.7813.27
2025-10-01Oct 202522.8215.71
2025-11-01Nov 202521.116.72
2025-12-01Dec 202520.713.5
2026-01-01Jan 202626.5914
2026-02-01Feb 202630.9616.41
2026-03-01Mar 202632.0821.01
2026-04-01Apr 202627.1817.22
2026-05-01May 202623.2715.44
2026-06-01Jun 20262415.7
2026-07-01Jul 202623.1214.79
2026-08-01Aug 202623.6113.34
Rows × columns
60 × 4
Period covered
to
Computed
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

Column definitions for iv_levels, derived from the stored result.
ColumnTypeRangeNotes
month date 2021-09-01 to 2026-08-01
month_label text 60 distinct values (Apr 2022, Apr 2023, Apr 2024…)
gld_atm_iv_pct number 10.84 to 32.08 percent
spy_atm_iv_pct number 11.76 to 27.84 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,
    formatDateTime(toStartOfMonth(date), '%b %Y')                                   AS month_label,
    round(avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'GLD'), 2) AS gld_atm_iv_pct,
    round(avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'SPY'), 2) AS spy_atm_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('GLD', 'SPY')
  AND date >= '2021-09-01'
  AND date <  '2026-09-01'
  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
GROUP BY month, month_label
HAVING countIf(underlying_symbol = 'GLD') > 0
   AND countIf(underlying_symbol = 'SPY') > 0
ORDER BY month
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