STRASMORE/EXPLORE 2,170 QUERIES

Vega across the SPY ladder, indexed to the at-the-money strike, May 2026

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 2026-08-07, from Iron Condor vs Iron Butterfly: Break-Evens.

as of ranking 13×3read in context →
Vega across the SPY ladder, indexed to the at-the-money strike, May 2026 — 13 rows by 3 columns, computed from US exchange, SIP and OPRA data.
strike_vs_spotvol_risk_7_to_14d_pctvol_risk_25_to_35d_pct
-6%2451
-5%3059
-4%4069
-3%5378
-2%7088
-1%8996
0%100100
+1%9099
+2%6392
+3%3478
+4%1761
+5%946
+6%733
Rows × columns
13 × 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 Vega across the SPY ladder, indexed to the at-the-money strike, May 2026, derived from the stored result.
ColumnTypeRangeNotes
strike_vs_spot text 13 distinct values (+1%, +2%, +3%…)
vol_risk_7_to_14d_pct number 7 to 100 percent
vol_risk_25_to_35d_pct number 33 to 100 percent

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.

the exact SQL behind every number 
WITH chain AS
(
    SELECT
        toInt32(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 100)) AS off_pct,
        toFloat64(vega)                                                                   AS leg_vega,
        if(days_to_expiry <= 14, 'near', 'far')                                           AS dte_bucket
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date BETWEEN '2026-05-01' AND '2026-05-29'
      AND volume > 0
      AND iv_converged = 1
      AND ((days_to_expiry BETWEEN 7 AND 14) OR (days_to_expiry BETWEEN 25 AND 35))
)
SELECT
    concat(if(off_pct > 0, '+', ''), toString(off_pct), '%') AS strike_vs_spot,
    round(avgIf(leg_vega, dte_bucket = 'near')
          / (SELECT avgIf(leg_vega, dte_bucket = 'near') FROM chain WHERE off_pct = 0) * 100) AS vol_risk_7_to_14d_pct,
    round(avgIf(leg_vega, dte_bucket = 'far')
          / (SELECT avgIf(leg_vega, dte_bucket = 'far') FROM chain WHERE off_pct = 0) * 100)  AS vol_risk_25_to_35d_pct
FROM chain
GROUP BY off_pct
HAVING off_pct BETWEEN -6 AND 6
   AND countIf(dte_bucket = 'near') > 0
   AND countIf(dte_bucket = 'far') > 0
ORDER BY off_pct

Run your own version of this

The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.

More from this analysisIron Condor vs Iron Butterfly: Break-Evens
What a 30-day SPY option cost at each distance from spot, May 2026 averages ranking 13×3 → At-the-money implied volatility and the 30-day expected move it prices, May 2026 ranking 6×3 → Strikes that actually traded per session, 20 to 45 days out, May 2026 series 6×3 → Where the volume sat on that AAPL chain: call contracts against put contracts, by strike ranking 14×4 → Implied volatility beside the movement each stock actually delivered over the prior 30 sessions ranking 11×4 → At-the-money implied volatility, eleven familiar tickers (July 28, 2026) ranking 11×2 → See all 2,170 queries →