STRASMORE/EXPLORE 2,948 QUERIES

wing_noise

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 6×4read in context →
wing_noise — 6 rows by 4 columns, computed from US exchange, SIP and OPRA data.
volume_bucketmedian_iv_pctiv_range_pctcontracts
1 contract27.111215
2-527.412.8431
6-2527.511.7668
26-10026.811.5664
101-10002712.6817
over 100025.811.9126
Rows × columns
6 × 4
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 wing_noise, derived from the stored result.
ColumnTypeRangeNotes
volume_bucket text 6 distinct values (1 contract, 101-1000, 2-5…)
median_iv_pct number 25.8 to 27.5 percent
iv_range_pct number 11 to 12.8 percent
contracts number 126 to 817 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
    volume_bucket,
    round(100 * quantileDeterministic(iv, det), 1) AS median_iv_pct,
    round(100 * (quantileDeterministic(0.9)(iv, det) - quantileDeterministic(0.1)(iv, det)), 1) AS iv_range_pct,
    count() AS contracts
FROM
(
    SELECT
        toFloat64(implied_volatility) AS iv,
        cityHash64(ticker)            AS det,
        volume,
        multiIf(volume =    1, '1 contract',
                volume <=   5, '2-5',
                volume <=  25, '6-25',
                volume <= 100, '26-100',
                volume <= 1000, '101-1000',
                                'over 1000') AS volume_bucket
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date BETWEEN '2026-06-01' AND '2026-06-30'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND lower(option_type) IN ('put', 'p')
      AND toFloat64(strike_price) / toFloat64(underlying_close) - 1 BETWEEN -0.20 AND -0.08
)
GROUP BY volume_bucket
ORDER BY min(volume)
⌘/Ctrl + Enter

Work with this data in your AI assistant

Opens ready to query, with this page's data. Free, no account.

More from this analysisimplied-volatility-heatmap
term_column ranking 6×3 → raw_scale ranking 6×3 → normalized_scale ranking 6×4 → skew_row ranking 5×3 → Top 25 weekly-options underlyings by distinct contracts traded, with expiration weekdays ranking 25×4 → Annualized volatility vs total return, 25 large caps, calmest to wildest (~2 years) ranking 25×3 → See all 2,948 queries →