STRASMORE/EXPLORE 2,948 QUERIES

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.

as of ranking 5×3read in context →
skew_row — 5 rows by 3 columns, computed from US exchange, SIP and OPRA data.
moneynessmedian_iv_pctcontracts
10% below spot28.882
5% below spot25.186
at the money23.985
5% above spot24.387
10% above spot24.785
Rows × columns
5 × 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 skew_row, derived from the stored result.
ColumnTypeRangeNotes
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)
⌘/Ctrl + Enter

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