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GLD implied volatility by month, near-the-money contracts with 20 to 45 days to expiry

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 2026-10-05, from Gold vs Real Interest Rates: Does It Hold?.

as of series 25×4read in context →
GLD implied volatility by month, near-the-money contracts with 20 to 45 days to expiry — 25 rows by 4 columns, computed from US exchange, SIP and OPRA data.
monthmonth_labelmedian_iv_pctp90_iv_pct
2024-09-01Sep 20241618.2
2024-10-01Oct 202416.818.5
2024-11-01Nov 202415.818.3
2024-12-01Dec 202414.515.7
2025-01-01Jan 202514.315.6
2025-02-01Feb 202515.717.9
2025-03-01Mar 202515.817.1
2025-04-01Apr 202521.326.1
2025-05-01May 202520.223.2
2025-06-01Jun 20251820.2
2025-07-01Jul 202515.917.5
2025-08-01Aug 202514.816.4
2025-09-01Sep 202516.818.7
2025-10-01Oct 202522.628.9
2025-11-01Nov 20252124.2
2025-12-01Dec 202520.124.1
2026-01-01Jan 202623.538.8
2026-02-01Feb 202630.137.2
2026-03-01Mar 202631.239.5
2026-04-01Apr 202625.933.8
2026-05-01May 202623.226.3
2026-06-01Jun 202623.528.2
2026-07-01Jul 20262325.5
2026-08-01Aug 202623.526.7
2026-09-01Sep 202623.326.8
Rows × columns
25 × 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 GLD implied volatility by month, near-the-money contracts with 20 to 45 days to expiry, derived from the stored result.
ColumnTypeRangeNotes
month date 2024-09-01 to 2026-09-01
month_label text 25 distinct values (Apr 2025, Apr 2026, Aug 2025…)
median_iv_pct number 14.3 to 31.2 percent
p90_iv_pct number 15.6 to 39.5 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(100 * quantileDeterministic(0.5)(toFloat64(implied_volatility), cityHash64(ticker)), 1) AS median_iv_pct,
    round(100 * quantileDeterministic(0.9)(toFloat64(implied_volatility), cityHash64(ticker)), 1) AS p90_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'GLD'
  AND iv_converged = 1
  AND volume > 0
  AND underlying_close > 0
  AND days_to_expiry BETWEEN 20 AND 45
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
  AND date >= toStartOfMonth(today() - 760)
  AND date <  toStartOfMonth(today())
GROUP BY month, month_label
HAVING count() >= 20
ORDER BY month
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