{"slug":"gld-implied-volatility","qid":"skew_smile","label":"skew_smile","post_title":"gld-implied-volatility","post_url":"/blog/gld-implied-volatility#q-skew_smile","columns":["delta_bucket","gld_iv_pct","spy_iv_pct"],"rows":[{"delta_bucket":"10 delta put","gld_iv_pct":27.31,"spy_iv_pct":23.17},{"delta_bucket":"25 delta put","gld_iv_pct":25.96,"spy_iv_pct":18.86},{"delta_bucket":"at the money","gld_iv_pct":25.09,"spy_iv_pct":14.98},{"delta_bucket":"25 delta call","gld_iv_pct":25.73,"spy_iv_pct":12.7},{"delta_bucket":"10 delta call","gld_iv_pct":27.67,"spy_iv_pct":11.65}],"shape":"ranking","sql":"WITH wings AS\n(\n    SELECT\n        underlying_symbol AS sym,\n        multiIf(\n            delta BETWEEN -0.15 AND -0.05, 1,\n            delta BETWEEN -0.32 AND -0.18, 2,\n            delta BETWEEN  0.45 AND  0.55, 3,\n            delta BETWEEN  0.18 AND  0.32, 4,\n            delta BETWEEN  0.05 AND  0.15, 5,\n            0)            AS ord,\n        toFloat64(implied_volatility) * 100 AS iv_pct\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol IN ('GLD', 'SPY')\n      AND date >= '2025-09-01'\n      AND date <  '2026-09-01'\n      AND iv_converged = 1\n      AND volume > 0\n      AND days_to_expiry BETWEEN 20 AND 45\n)\nSELECT\n    ['10 delta put', '25 delta put', 'at the money', '25 delta call', '10 delta call'][ord] AS delta_bucket,\n    round(avgIf(iv_pct, sym = 'GLD'), 2) AS gld_iv_pct,\n    round(avgIf(iv_pct, sym = 'SPY'), 2) AS spy_iv_pct\nFROM wings\nWHERE ord > 0\nGROUP BY ord\nHAVING countIf(sym = 'GLD') > 0\n   AND countIf(sym = 'SPY') > 0\nORDER BY ord","computed_at":"2026-09-23T14:47:15.118333+00:00","elapsed":0.003550946}