move_vs_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.

WITH
    iv AS
    (
        SELECT
            toStartOfMonth(date)                                AS m,
            round(avg(implied_volatility) / sqrt(252) * 100, 2) AS implied_daily_move_pct
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          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
          AND date >= '2025-09-01'
          AND date <  '2026-09-01'
        GROUP BY m
    ),
    realised AS
    (
        SELECT
            toStartOfMonth(date)                                             AS m,
            round(avg(abs(toFloat64(close) / toFloat64(open) - 1)) * 100, 2)  AS realised_daily_move_pct
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date >= '2025-09-01'
          AND date <  '2026-09-01'
        GROUP BY m
    )
SELECT
    toString(iv.m)                       AS month,
    formatDateTime(iv.m, '%b %Y')        AS month_label,
    iv.implied_daily_move_pct            AS implied_daily_move_pct,
    realised.realised_daily_move_pct     AS realised_daily_move_pct
FROM iv
INNER JOIN realised ON realised.m = iv.m
ORDER BY month