skew_row
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 2026-10-02, from implied-volatility-heatmap.
| moneyness | median_iv_pct | contracts |
|---|---|---|
| 10% below spot | 28.8 | 82 |
| 5% below spot | 25.1 | 86 |
| at the money | 23.9 | 85 |
| 5% above spot | 24.3 | 87 |
| 10% above spot | 24.7 | 85 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
moneyness |
text | 5 distinct values | |
median_iv_pct |
number | 23.9 to 28.8 | percent |
contracts |
number | 82 to 87 | 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.
SELECT
moneyness,
round(100 * quantileDeterministic(iv, det), 1) AS median_iv_pct,
count() AS contracts
FROM
(
SELECT
toFloat64(implied_volatility) AS iv,
cityHash64(ticker) AS det,
toFloat64(strike_price) / toFloat64(underlying_close) - 1 AS m,
multiIf(m < -0.075, '10% below spot',
m < -0.025, '5% below spot',
m < 0.025, 'at the money',
m < 0.075, '5% above spot',
'10% above spot') AS moneyness
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
AND date BETWEEN '2026-06-01' AND '2026-06-30'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 25 AND 35
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.125
AND ((lower(option_type) IN ('put', 'p') AND toFloat64(strike_price) <= toFloat64(underlying_close))
OR (lower(option_type) IN ('call', 'c') AND toFloat64(strike_price) > toFloat64(underlying_close)))
)
GROUP BY moneyness
ORDER BY min(m)
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