25 delta call minus put implied volatility, in volatility points

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' AND delta BETWEEN  0.18 AND  0.32)
        - avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'GLD' AND delta BETWEEN -0.32 AND -0.18), 2) AS gld_skew_pts,
    round(avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'SPY' AND delta BETWEEN  0.18 AND  0.32)
        - avgIf(toFloat64(implied_volatility) * 100, underlying_symbol = 'SPY' AND delta BETWEEN -0.32 AND -0.18), 2) AS spy_skew_pts,
    round(gld_skew_pts - spy_skew_pts, 2)         AS gld_minus_spy_pts
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
GROUP BY month, month_label
HAVING countIf(underlying_symbol = 'GLD' AND delta BETWEEN  0.18 AND  0.32) > 0
   AND countIf(underlying_symbol = 'GLD' AND delta BETWEEN -0.32 AND -0.18) > 0
   AND countIf(underlying_symbol = 'SPY' AND delta BETWEEN  0.18 AND  0.32) > 0
   AND countIf(underlying_symbol = 'SPY' AND delta BETWEEN -0.32 AND -0.18) > 0
ORDER BY month