iv_rank

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.

WITH
    daily AS
    (
        SELECT
            underlying_symbol                                  AS symbol,
            date,
            round(100 * avg(toFloat64(implied_volatility)), 2) AS iv_pct
        FROM global_markets.options_greeks
        WHERE underlying_symbol IN ('SPY', 'QQQ', 'AAPL', 'MSFT', 'NVDA', 'KO')
          AND date >= today() - 400
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry BETWEEN 20 AND 45
          AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
        GROUP BY symbol, date
    ),
    latest AS
    (
        SELECT
            symbol,
            argMax(iv_pct, date) AS current_iv,
            max(date)            AS snapshot
        FROM daily
        GROUP BY symbol
    )
SELECT
    l.symbol                                                    AS symbol,
    round(l.current_iv, 1)                                      AS current_iv_pct,
    round(100 * countIf(d.iv_pct <= l.current_iv) / count(), 0) AS iv_percentile,
    formatDateTime(l.snapshot, '%b %e, %Y')                     AS as_of
FROM latest AS l
INNER JOIN daily AS d ON d.symbol = l.symbol
GROUP BY l.symbol, l.current_iv, l.snapshot
ORDER BY iv_percentile DESC