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.
| strike_vs_spot | vega_pct_of_atm | contract_count |
|---|---|---|
| 0.80-0.90 | 33.1 | 24 |
| 0.90-0.95 | 62.4 | 10 |
| 0.95-1.00 | 89.8 | 18 |
| 1.00-1.05 | 98.5 | 18 |
| 1.05-1.10 | 73.6 | 16 |
| 1.10-1.20 | 31.6 | 20 |
- Rows × columns
- 6 × 3
- 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 |
|---|---|---|---|
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.
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 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)