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.
| volume_bucket | median_iv_pct | iv_range_pct | contracts |
|---|---|---|---|
| 1 contract | 27.1 | 11 | 215 |
| 2-5 | 27.4 | 12.8 | 431 |
| 6-25 | 27.5 | 11.7 | 668 |
| 26-100 | 26.8 | 11.5 | 664 |
| 101-1000 | 27 | 12.6 | 817 |
| over 1000 | 25.8 | 11.9 | 126 |
- Rows × columns
- 6 × 4
- 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 |
|---|---|---|---|
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)
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