Monthly at-the-money 30 day implied volatility: GLD vs SPY

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