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Where the Newton step misbehaves: AAPL vega by strike zone, June 30, 2026

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 2026-08-25, from How Implied Volatility Is Calculated.

as of ranking 6×3read in context →
Where the Newton step misbehaves: AAPL vega by strike zone, June 30, 2026 — 6 rows by 3 columns, computed from US exchange, SIP and OPRA data.
strike_vs_spotvega_pct_of_atmcontract_count
0.80-0.9033.124
0.90-0.9562.410
0.95-1.0089.818
1.00-1.0598.518
1.05-1.1073.616
1.10-1.2031.620
Rows × columns
6 × 3
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 Where the Newton step misbehaves: AAPL vega by strike zone, June 30, 2026, derived from the stored result.
ColumnTypeRangeNotes
strike_vs_spot text 6 distinct values (0.80-0.90, 0.90-0.95, 0.95-1.00…)
vega_pct_of_atm number 31.6 to 98.5 percent
contract_count number 10 to 24 count

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.

the exact SQL behind every number 
WITH toFloat64(strike_price) / toFloat64(underlying_close) AS moneyness,
     (
         SELECT avg(toFloat64(vega))
         FROM global_markets.options_greeks
         WHERE underlying_symbol = 'AAPL'
           AND date = toDate('2026-06-30')
           AND days_to_expiry BETWEEN 20 AND 45
           AND iv_converged = 1
           AND volume > 0
           AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.025
     ) AS atm_vega
SELECT multiIf(moneyness < 0.90, '0.80-0.90',
               moneyness < 0.95, '0.90-0.95',
               moneyness < 1.00, '0.95-1.00',
               moneyness < 1.05, '1.00-1.05',
               moneyness < 1.10, '1.05-1.10',
                                 '1.10-1.20') AS strike_vs_spot,
       round(100 * avg(toFloat64(vega)) / atm_vega, 1) AS vega_pct_of_atm,
       count() AS contract_count
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
  AND date = toDate('2026-06-30')
  AND days_to_expiry BETWEEN 20 AND 45
  AND iv_converged = 1
  AND volume > 0
  AND moneyness BETWEEN 0.80 AND 1.20
GROUP BY strike_vs_spot
ORDER BY min(moneyness)

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