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.
| strike_vs_spot | vol_risk_7_to_14d_pct | vol_risk_25_to_35d_pct |
|---|---|---|
| -6% | 24 | 51 |
| -5% | 30 | 59 |
| -4% | 40 | 69 |
| -3% | 53 | 78 |
| -2% | 70 | 88 |
| -1% | 89 | 96 |
| 0% | 100 | 100 |
| +1% | 90 | 99 |
| +2% | 63 | 92 |
| +3% | 34 | 78 |
| +4% | 17 | 61 |
| +5% | 9 | 46 |
| +6% | 7 | 33 |
- Rows × columns
- 13 × 3
- 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 |
|---|---|---|---|
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.
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 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
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