Average implied volatility against next-month realized volatility, by name
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 2026-09-26, from Historical Volatility vs Implied Volatility.
| symbol | avg_implied_pct | avg_realized_next_pct | months_iv_higher | months_compared |
|---|---|---|---|---|
| TSLA | 52.7 | 50.7 | 13 | 18 |
| NVDA | 42.4 | 38.1 | 12 | 18 |
| MSFT | 27.7 | 27.7 | 12 | 18 |
| AAPL | 27.3 | 26.7 | 13 | 18 |
| KO | 19 | 17.5 | 12 | 18 |
| SPY | 16.4 | 14.3 | 14 | 18 |
- Rows × columns
- 6 × 5
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
symbol |
text | 6 distinct values (AAPL, KO, MSFT…) | |
avg_implied_pct |
number | 16.4 to 52.7 | percent |
avg_realized_next_pct |
number | 14.3 to 50.7 | percent |
months_iv_higher |
number | 12 to 14 | ratio or rate |
months_compared |
number | every row is 18 |
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.
WITH
daily AS
(
SELECT
ticker,
date AS session_date,
toFloat64(close) AS close_px,
lagInFrame(toFloat64(close)) OVER
(PARTITION BY ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_close
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('AAPL', 'KO', 'MSFT', 'NVDA', 'SPY', 'TSLA')
AND date >= today() - 560
AND date < today()
),
realized AS
(
SELECT
ticker,
toStartOfMonth(session_date) AS month_start,
100 * sqrt(252) * stddevSamp(log(close_px / prev_close)) AS rv_pct
FROM daily
WHERE prev_close > 0
GROUP BY ticker, month_start
HAVING count() >= 15
),
implied AS
(
SELECT
underlying_symbol AS ticker,
toStartOfMonth(date) AS month_start,
100 * avg(implied_volatility) AS iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('AAPL', 'KO', 'MSFT', 'NVDA', 'SPY', 'TSLA')
AND date >= today() - 560
AND date < today()
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY ticker, month_start
HAVING count() >= 100
)
SELECT
imp.ticker AS symbol,
round(avg(imp.iv_pct), 1) AS avg_implied_pct,
round(avg(rea.rv_pct), 1) AS avg_realized_next_pct,
countIf(imp.iv_pct > rea.rv_pct) AS months_iv_higher,
count() AS months_compared
FROM implied AS imp
INNER JOIN realized AS rea
ON rea.ticker = imp.ticker AND rea.month_start = addMonths(imp.month_start, 1)
GROUP BY symbol
ORDER BY avg_implied_pct DESC
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