{"slug":"gld-implied-volatility","qid":"skew_monthly","label":"skew_monthly","post_title":"gld-implied-volatility","post_url":"/blog/gld-implied-volatility#q-skew_monthly","columns":["month","month_label","gld_skew_pts","spy_skew_pts","gld_minus_spy_pts"],"rows":[{"month":"2021-09-01","month_label":"Sep 2021","gld_skew_pts":-0.94,"spy_skew_pts":-9.17,"gld_minus_spy_pts":8.23},{"month":"2021-10-01","month_label":"Oct 2021","gld_skew_pts":-0.78,"spy_skew_pts":-7.19,"gld_minus_spy_pts":6.41},{"month":"2021-11-01","month_label":"Nov 2021","gld_skew_pts":0.12,"spy_skew_pts":-7.82,"gld_minus_spy_pts":7.94},{"month":"2021-12-01","month_label":"Dec 2021","gld_skew_pts":-0.66,"spy_skew_pts":-9.74,"gld_minus_spy_pts":9.08},{"month":"2022-01-01","month_label":"Jan 2022","gld_skew_pts":-0.83,"spy_skew_pts":-7.71,"gld_minus_spy_pts":6.88},{"month":"2022-02-01","month_label":"Feb 2022","gld_skew_pts":0.48,"spy_skew_pts":-9.65,"gld_minus_spy_pts":10.13},{"month":"2022-03-01","month_label":"Mar 2022","gld_skew_pts":3.32,"spy_skew_pts":-9.7,"gld_minus_spy_pts":13.02},{"month":"2022-04-01","month_label":"Apr 2022","gld_skew_pts":2.21,"spy_skew_pts":-7.53,"gld_minus_spy_pts":9.74},{"month":"2022-05-01","month_label":"May 2022","gld_skew_pts":0.3,"spy_skew_pts":-8.38,"gld_minus_spy_pts":8.68},{"month":"2022-06-01","month_label":"Jun 2022","gld_skew_pts":-0.01,"spy_skew_pts":-6.77,"gld_minus_spy_pts":6.76},{"month":"2022-07-01","month_label":"Jul 2022","gld_skew_pts":-1.31,"spy_skew_pts":-6.39,"gld_minus_spy_pts":5.08},{"month":"2022-08-01","month_label":"Aug 2022","gld_skew_pts":-0.31,"spy_skew_pts":-6,"gld_minus_spy_pts":5.69},{"month":"2022-09-01","month_label":"Sep 2022","gld_skew_pts":-1.41,"spy_skew_pts":-7.34,"gld_minus_spy_pts":5.93},{"month":"2022-10-01","month_label":"Oct 2022","gld_skew_pts":-1.01,"spy_skew_pts":-4.93,"gld_minus_spy_pts":3.92},{"month":"2022-11-01","month_label":"Nov 2022","gld_skew_pts":-0.41,"spy_skew_pts":-4.31,"gld_minus_spy_pts":3.9},{"month":"2022-12-01","month_label":"Dec 2022","gld_skew_pts":-0.34,"spy_skew_pts":-5.38,"gld_minus_spy_pts":5.04},{"month":"2023-01-01","month_label":"Jan 2023","gld_skew_pts":-0.2,"spy_skew_pts":-3.8,"gld_minus_spy_pts":3.6},{"month":"2023-02-01","month_label":"Feb 2023","gld_skew_pts":-0.39,"spy_skew_pts":-6.01,"gld_minus_spy_pts":5.62},{"month":"2023-03-01","month_label":"Mar 2023","gld_skew_pts":0.95,"spy_skew_pts":-7.24,"gld_minus_spy_pts":8.19},{"month":"2023-04-01","month_label":"Apr 2023","gld_skew_pts":0.85,"spy_skew_pts":-5.65,"gld_minus_spy_pts":6.5},{"month":"2023-05-01","month_label":"May 2023","gld_skew_pts":1.37,"spy_skew_pts":-7.61,"gld_minus_spy_pts":8.98},{"month":"2023-06-01","month_label":"Jun 2023","gld_skew_pts":-0.08,"spy_skew_pts":-4.55,"gld_minus_spy_pts":4.47},{"month":"2023-07-01","month_label":"Jul 2023","gld_skew_pts":0.31,"spy_skew_pts":-3.28,"gld_minus_spy_pts":3.59},{"month":"2023-08-01","month_label":"Aug 2023","gld_skew_pts":-0.09,"spy_skew_pts":-5.72,"gld_minus_spy_pts":5.63},{"month":"2023-09-01","month_label":"Sep 2023","gld_skew_pts":0.14,"spy_skew_pts":-4.55,"gld_minus_spy_pts":4.69},{"month":"2023-10-01","month_label":"Oct 2023","gld_skew_pts":0.95,"spy_skew_pts":-4.46,"gld_minus_spy_pts":5.41},{"month":"2023-11-01","month_label":"Nov 2023","gld_skew_pts":0.69,"spy_skew_pts":-4.21,"gld_minus_spy_pts":4.9},{"month":"2023-12-01","month_label":"Dec 2023","gld_skew_pts":1.21,"spy_skew_pts":-3.07,"gld_minus_spy_pts":4.28},{"month":"2024-01-01","month_label":"Jan 2024","gld_skew_pts":0.7,"spy_skew_pts":-2.63,"gld_minus_spy_pts":3.33},{"month":"2024-02-01","month_label":"Feb 2024","gld_skew_pts":0.35,"spy_skew_pts":-3.22,"gld_minus_spy_pts":3.57},{"month":"2024-03-01","month_label":"Mar 2024","gld_skew_pts":1.18,"spy_skew_pts":-2.94,"gld_minus_spy_pts":4.12},{"month":"2024-04-01","month_label":"Apr 2024","gld_skew_pts":1.77,"spy_skew_pts":-3.18,"gld_minus_spy_pts":4.95},{"month":"2024-05-01","month_label":"May 2024","gld_skew_pts":0.83,"spy_skew_pts":-3.59,"gld_minus_spy_pts":4.42},{"month":"2024-06-01","month_label":"Jun 2024","gld_skew_pts":0.8,"spy_skew_pts":-3.54,"gld_minus_spy_pts":4.34},{"month":"2024-07-01","month_label":"Jul 2024","gld_skew_pts":1.01,"spy_skew_pts":-2.56,"gld_minus_spy_pts":3.57},{"month":"2024-08-01","month_label":"Aug 2024","gld_skew_pts":1.21,"spy_skew_pts":-5.23,"gld_minus_spy_pts":6.44},{"month":"2024-09-01","month_label":"Sep 2024","gld_skew_pts":0.1,"spy_skew_pts":-5.64,"gld_minus_spy_pts":5.74},{"month":"2024-10-01","month_label":"Oct 2024","gld_skew_pts":-0.19,"spy_skew_pts":-5.28,"gld_minus_spy_pts":5.09},{"month":"2024-11-01","month_label":"Nov 2024","gld_skew_pts":0.13,"spy_skew_pts":-4.1,"gld_minus_spy_pts":4.23},{"month":"2024-12-01","month_label":"Dec 2024","gld_skew_pts":0.21,"spy_skew_pts":-4.51,"gld_minus_spy_pts":4.72},{"month":"2025-01-01","month_label":"Jan 2025","gld_skew_pts":-0.34,"spy_skew_pts":-4.13,"gld_minus_spy_pts":3.79},{"month":"2025-02-01","month_label":"Feb 2025","gld_skew_pts":-1.89,"spy_skew_pts":-5.46,"gld_minus_spy_pts":3.57},{"month":"2025-03-01","month_label":"Mar 2025","gld_skew_pts":-0.78,"spy_skew_pts":-6.44,"gld_minus_spy_pts":5.66},{"month":"2025-04-01","month_label":"Apr 2025","gld_skew_pts":-0.17,"spy_skew_pts":-7.41,"gld_minus_spy_pts":7.24},{"month":"2025-05-01","month_label":"May 2025","gld_skew_pts":0.04,"spy_skew_pts":-6.39,"gld_minus_spy_pts":6.43},{"month":"2025-06-01","month_label":"Jun 2025","gld_skew_pts":0.59,"spy_skew_pts":-5.99,"gld_minus_spy_pts":6.58},{"month":"2025-07-01","month_label":"Jul 2025","gld_skew_pts":0.91,"spy_skew_pts":-4.46,"gld_minus_spy_pts":5.37},{"month":"2025-08-01","month_label":"Aug 2025","gld_skew_pts":0.85,"spy_skew_pts":-5.47,"gld_minus_spy_pts":6.32},{"month":"2025-09-01","month_label":"Sep 2025","gld_skew_pts":0.84,"spy_skew_pts":-5.91,"gld_minus_spy_pts":6.75},{"month":"2025-10-01","month_label":"Oct 2025","gld_skew_pts":0.01,"spy_skew_pts":-5.49,"gld_minus_spy_pts":5.5},{"month":"2025-11-01","month_label":"Nov 2025","gld_skew_pts":0.55,"spy_skew_pts":-6.73,"gld_minus_spy_pts":7.28},{"month":"2025-12-01","month_label":"Dec 2025","gld_skew_pts":1.07,"spy_skew_pts":-5.2,"gld_minus_spy_pts":6.27},{"month":"2026-01-01","month_label":"Jan 2026","gld_skew_pts":0.18,"spy_skew_pts":-4.88,"gld_minus_spy_pts":5.06},{"month":"2026-02-01","month_label":"Feb 2026","gld_skew_pts":0.45,"spy_skew_pts":-7.48,"gld_minus_spy_pts":7.93},{"month":"2026-03-01","month_label":"Mar 2026","gld_skew_pts":-3.03,"spy_skew_pts":-9.75,"gld_minus_spy_pts":6.72},{"month":"2026-04-01","month_label":"Apr 2026","gld_skew_pts":-3.55,"spy_skew_pts":-7.37,"gld_minus_spy_pts":3.82},{"month":"2026-05-01","month_label":"May 2026","gld_skew_pts":-0.99,"spy_skew_pts":-4.94,"gld_minus_spy_pts":3.95},{"month":"2026-06-01","month_label":"Jun 2026","gld_skew_pts":-1.53,"spy_skew_pts":-5.39,"gld_minus_spy_pts":3.86},{"month":"2026-07-01","month_label":"Jul 2026","gld_skew_pts":-2.06,"spy_skew_pts":-5.52,"gld_minus_spy_pts":3.46},{"month":"2026-08-01","month_label":"Aug 2026","gld_skew_pts":-0.1,"spy_skew_pts":-4.53,"gld_minus_spy_pts":4.43}],"shape":"series","sql":"SELECT\n    toString(toStartOfMonth(date))                AS month,\n    formatDateTime(toStartOfMonth(date), '%b %Y') AS month_label,\n    round(avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'GLD' AND delta BETWEEN  0.18 AND  0.32)\n        - avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'GLD' AND delta BETWEEN -0.32 AND -0.18), 2) AS gld_skew_pts,\n    round(avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'SPY' AND delta BETWEEN  0.18 AND  0.32)\n        - avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'SPY' AND delta BETWEEN -0.32 AND -0.18), 2) AS spy_skew_pts,\n    round(gld_skew_pts - spy_skew_pts, 2)         AS gld_minus_spy_pts\nFROM global_markets.options_greeks\nWHERE underlying_symbol IN ('GLD', 'SPY')\n  AND date >= '2021-09-01'\n  AND date <  '2026-09-01'\n  AND iv_converged = 1\n  AND volume > 0\n  AND days_to_expiry BETWEEN 20 AND 45\nGROUP BY month, month_label\nHAVING countIf(underlying_symbol = 'GLD' AND delta BETWEEN  0.18 AND  0.32) > 0\n   AND countIf(underlying_symbol = 'GLD' AND delta BETWEEN -0.32 AND -0.18) > 0\n   AND countIf(underlying_symbol = 'SPY' AND delta BETWEEN  0.18 AND  0.32) > 0\n   AND countIf(underlying_symbol = 'SPY' AND delta BETWEEN -0.32 AND -0.18) > 0\nORDER BY month","computed_at":"2026-09-23T14:47:15.006445+00:00","elapsed":0.004612278}