Monthly median 30-day implied volatility: index ETF, staple, and chipmaker

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 atm AS (
    SELECT underlying_symbol AS symbol,
           date,
           avg(implied_volatility) * 100 AS iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol IN ('SPY', 'KO', 'NVDA')
      AND date >= toDate('2024-08-01')
      AND date <= toDate('2026-07-31')
      AND iv_converged = 1
      AND volume > 0
      AND underlying_close > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
    GROUP BY symbol, date
)
SELECT formatDateTime(toStartOfMonth(date), '%Y-%m') AS month,
       formatDateTimeInJodaSyntax(toStartOfMonth(date), 'MMM yyyy') AS month_label,
       round(quantileDeterministicIf(0.5)(iv_pct, cityHash64(toString(date)), symbol = 'SPY'), 1) AS spy_iv_pct,
       round(quantileDeterministicIf(0.5)(iv_pct, cityHash64(toString(date)), symbol = 'KO'), 1) AS ko_iv_pct,
       round(quantileDeterministicIf(0.5)(iv_pct, cityHash64(toString(date)), symbol = 'NVDA'), 1) AS nvda_iv_pct
FROM atm
GROUP BY toStartOfMonth(date)
HAVING countIf(symbol = 'SPY') > 0
   AND countIf(symbol = 'KO') > 0
   AND countIf(symbol = 'NVDA') > 0
ORDER BY toStartOfMonth(date)