{"slug":"implied-volatility-vs-beta","qid":"rolling_beta","label":"NVDA beta against SPY, re-estimated monthly over a rolling twelve-month window","post_title":"Implied Volatility vs Beta: What Each Tells You","post_url":"/blog/implied-volatility-vs-beta#q-rolling_beta","columns":["month","month_label","rolling_beta_1y","r_squared"],"rows":[{"month":"2022-09","month_label":"Sep 2022","rolling_beta_1y":2.32,"r_squared":0.65},{"month":"2022-10","month_label":"Oct 2022","rolling_beta_1y":2.26,"r_squared":0.64},{"month":"2022-11","month_label":"Nov 2022","rolling_beta_1y":2.21,"r_squared":0.65},{"month":"2022-12","month_label":"Dec 2022","rolling_beta_1y":2.22,"r_squared":0.71},{"month":"2023-01","month_label":"Jan 2023","rolling_beta_1y":2.19,"r_squared":0.71},{"month":"2023-02","month_label":"Feb 2023","rolling_beta_1y":2.19,"r_squared":0.7},{"month":"2023-03","month_label":"Mar 2023","rolling_beta_1y":2.17,"r_squared":0.65},{"month":"2023-04","month_label":"Apr 2023","rolling_beta_1y":2.08,"r_squared":0.63},{"month":"2023-05","month_label":"May 2023","rolling_beta_1y":2.04,"r_squared":0.62},{"month":"2023-06","month_label":"Jun 2023","rolling_beta_1y":2.06,"r_squared":0.51},{"month":"2023-07","month_label":"Jul 2023","rolling_beta_1y":2.05,"r_squared":0.47},{"month":"2023-08","month_label":"Aug 2023","rolling_beta_1y":2.08,"r_squared":0.46},{"month":"2023-09","month_label":"Sep 2023","rolling_beta_1y":2.03,"r_squared":0.43},{"month":"2023-10","month_label":"Oct 2023","rolling_beta_1y":2.11,"r_squared":0.43},{"month":"2023-11","month_label":"Nov 2023","rolling_beta_1y":2.18,"r_squared":0.4},{"month":"2023-12","month_label":"Dec 2023","rolling_beta_1y":2.05,"r_squared":0.33},{"month":"2024-01","month_label":"Jan 2024","rolling_beta_1y":2,"r_squared":0.3},{"month":"2024-02","month_label":"Feb 2024","rolling_beta_1y":1.95,"r_squared":0.28},{"month":"2024-03","month_label":"Mar 2024","rolling_beta_1y":2.02,"r_squared":0.29},{"month":"2024-04","month_label":"Apr 2024","rolling_beta_1y":2.22,"r_squared":0.29},{"month":"2024-05","month_label":"May 2024","rolling_beta_1y":2.36,"r_squared":0.31},{"month":"2024-06","month_label":"Jun 2024","rolling_beta_1y":2.16,"r_squared":0.32},{"month":"2024-07","month_label":"Jul 2024","rolling_beta_1y":2.28,"r_squared":0.32},{"month":"2024-08","month_label":"Aug 2024","rolling_beta_1y":2.45,"r_squared":0.35},{"month":"2024-09","month_label":"Sep 2024","rolling_beta_1y":2.53,"r_squared":0.39},{"month":"2024-10","month_label":"Oct 2024","rolling_beta_1y":2.68,"r_squared":0.42},{"month":"2024-11","month_label":"Nov 2024","rolling_beta_1y":2.73,"r_squared":0.42},{"month":"2024-12","month_label":"Dec 2024","rolling_beta_1y":2.76,"r_squared":0.42},{"month":"2025-01","month_label":"Jan 2025","rolling_beta_1y":2.66,"r_squared":0.41},{"month":"2025-02","month_label":"Feb 2025","rolling_beta_1y":2.87,"r_squared":0.42},{"month":"2025-03","month_label":"Mar 2025","rolling_beta_1y":2.82,"r_squared":0.43},{"month":"2025-04","month_label":"Apr 2025","rolling_beta_1y":2.69,"r_squared":0.44},{"month":"2025-05","month_label":"May 2025","rolling_beta_1y":2.1,"r_squared":0.49},{"month":"2025-06","month_label":"Jun 2025","rolling_beta_1y":2.09,"r_squared":0.53},{"month":"2025-07","month_label":"Jul 2025","rolling_beta_1y":2.06,"r_squared":0.54},{"month":"2025-08","month_label":"Aug 2025","rolling_beta_1y":1.98,"r_squared":0.54},{"month":"2025-09","month_label":"Sep 2025","rolling_beta_1y":1.9,"r_squared":0.53},{"month":"2025-10","month_label":"Oct 2025","rolling_beta_1y":1.85,"r_squared":0.52},{"month":"2025-11","month_label":"Nov 2025","rolling_beta_1y":1.83,"r_squared":0.53},{"month":"2025-12","month_label":"Dec 2025","rolling_beta_1y":1.84,"r_squared":0.53},{"month":"2026-01","month_label":"Jan 2026","rolling_beta_1y":1.87,"r_squared":0.54},{"month":"2026-02","month_label":"Feb 2026","rolling_beta_1y":1.76,"r_squared":0.59},{"month":"2026-03","month_label":"Mar 2026","rolling_beta_1y":1.73,"r_squared":0.58},{"month":"2026-04","month_label":"Apr 2026","rolling_beta_1y":1.7,"r_squared":0.61},{"month":"2026-05","month_label":"May 2026","rolling_beta_1y":1.74,"r_squared":0.41},{"month":"2026-06","month_label":"Jun 2026","rolling_beta_1y":1.78,"r_squared":0.4},{"month":"2026-07","month_label":"Jul 2026","rolling_beta_1y":1.85,"r_squared":0.43},{"month":"2026-08","month_label":"Aug 2026","rolling_beta_1y":1.87,"r_squared":0.44}],"shape":"series","sql":"WITH\n    px AS\n    (\n        SELECT\n            ticker,\n            date,\n            toFloat64(close) AS close_px\n        FROM global_markets.stocks_daily_aggs\n        WHERE ticker IN ('SPY','NVDA')\n          AND date >= '2021-08-01'\n          AND date <= '2026-08-21'\n    ),\n    daily_ret AS\n    (\n        SELECT\n            ticker,\n            date,\n            close_px / lagInFrame(close_px) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) - 1 AS ret\n        FROM px\n    ),\n    paired AS\n    (\n        SELECT\n            s.date AS d,\n            s.ret  AS stock_ret,\n            i.ret  AS index_ret\n        FROM daily_ret AS s\n        INNER JOIN\n        (\n            SELECT date, ret FROM daily_ret WHERE ticker = 'SPY' AND isFinite(ret)\n        ) AS i ON i.date = s.date\n        WHERE s.ticker = 'NVDA' AND isFinite(s.ret)\n    ),\n    anchors AS\n    (\n        SELECT DISTINCT toStartOfMonth(d) AS anchor\n        FROM paired\n        WHERE d >= '2022-09-01'\n    )\nSELECT\n    formatDateTime(a.anchor, '%Y-%m')                                    AS month,\n    formatDateTime(a.anchor, '%b %Y')                                    AS month_label,\n    round(covarSamp(p.stock_ret, p.index_ret) / varSamp(p.index_ret), 2) AS rolling_beta_1y,\n    round(pow(corr(p.stock_ret, p.index_ret), 2), 2)                     AS r_squared\nFROM anchors AS a, paired AS p\nWHERE p.d < a.anchor\n  AND p.d >= subtractYears(a.anchor, 1)\nGROUP BY a.anchor\nORDER BY a.anchor","computed_at":"2026-08-28T23:14:46.638709+00:00","elapsed":0.004124457}