SPY at-the-money implied volatility against realized volatility, by month
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 2026-08-16, from How Delta Hedging Actually Works.
| month | implied_vol_pct | realized_vol_pct |
|---|---|---|
| 2025-08-01 | 13.7 | 10.1 |
| 2025-09-01 | 13.3 | 6.3 |
| 2025-10-01 | 15.7 | 13.7 |
| 2025-11-01 | 16.7 | 15.3 |
| 2025-12-01 | 13.5 | 8.2 |
| 2026-01-01 | 14 | 10.3 |
| 2026-02-01 | 16.4 | 13.2 |
| 2026-03-01 | 21 | 18.2 |
| 2026-04-01 | 17.2 | 11.6 |
| 2026-05-01 | 15.4 | 9.7 |
| 2026-06-01 | 15.7 | 17.7 |
| 2026-07-01 | 14.8 | 12.1 |
- Rows × columns
- 12 × 3
- Period covered
- to
- 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 |
|---|---|---|---|
month |
date | 2025-08-01 to 2026-07-01 | |
implied_vol_pct |
number | 13.3 to 21 | percent |
realized_vol_pct |
number | 6.3 to 18.2 | 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.
WITH
monthly_iv AS
(
SELECT
toStartOfMonth(date) AS m,
round(avg(implied_volatility) * 100, 1) AS implied_vol_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
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 >= '2025-08-01'
AND date < '2026-08-01'
GROUP BY m
),
monthly_rv AS
(
SELECT
m,
round(arrayReduce('stddevPop', rets) * sqrt(252) * 100, 1) AS realized_vol_pct
FROM
(
SELECT
m,
arrayMap((a, b) -> log(a / b),
arraySlice(px, 2),
arraySlice(px, 1, length(px) - 1)) AS rets
FROM
(
SELECT
toStartOfMonth(session_date) AS m,
arrayMap(t -> t.2, arraySort(t -> t.1, groupArray((session_date, session_close)))) AS px
FROM
(
SELECT
date AS session_date,
toFloat64(max(close)) AS session_close
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2025-08-01'
AND date < '2026-08-01'
GROUP BY date
)
GROUP BY m
)
WHERE length(rets) > 5
)
)
SELECT
toString(iv.m) AS month,
iv.implied_vol_pct AS implied_vol_pct,
rv.realized_vol_pct AS realized_vol_pct
FROM monthly_iv AS iv
INNER JOIN monthly_rv AS rv ON rv.m = iv.m
ORDER BY iv.m
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