fomc_iv

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(date)                                                     AS meeting_date,
    concat(toString(toDayOfMonth(date)), ' ',
           arrayElement(['Jan','Feb','Mac','Apr','Mei','Jun','Jul','Ogos','Sep','Okt','Nov','Dis'], toMonth(date)), ' ',
           toString(toYear(date)))                                     AS meeting_label,
    round(iv_prev, 1)                                                  AS iv_before_pct,
    round(iv_day, 1)                                                   AS iv_decision_pct,
    round(iv_next, 1)                                                  AS iv_after_pct
FROM
(
    SELECT
        date,
        iv_day,
        any(iv_day) OVER (ORDER BY date ASC ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS iv_prev,
        any(iv_day) OVER (ORDER BY date ASC ROWS BETWEEN 1 FOLLOWING AND 1 FOLLOWING) AS iv_next
    FROM
    (
        SELECT
            date,
            avg(implied_volatility) * 100 AS iv_day
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND date >= '2024-08-01'
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry BETWEEN 20 AND 45
          AND toFloat64(underlying_close) > 0
          AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
        GROUP BY date
    )
)
WHERE date IN ('2024-09-18','2024-11-07','2024-12-18','2025-01-29','2025-03-19',
               '2025-05-07','2025-06-18','2025-07-30','2025-09-17','2025-10-29',
               '2025-12-10','2026-01-28','2026-03-18','2026-04-29','2026-06-17',
               '2026-07-29','2026-09-16')
  AND iv_prev > 0
  AND iv_next > 0
ORDER BY date ASC