Where a 30% reading sits in each ticker's own two-year distribution

Name: Where a 30% reading sits in each ticker's own two-year distribution
Creator: Strasmore
Published: 2026-08-02
License: https://www.strasmore.com/terms/

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 2026-08-02, from Is 30% IV High? It Depends on the Ticker.

as of 2026-08-02 table 8×6read in context →

Where a 30% reading sits in each ticker's own two-year distribution — 8 rows by 6 columns, computed 2026-08-02 from US exchange, SIP and OPRA data.
symbol	sample_size	p10_iv_pct	median_iv_pct	p90_iv_pct	pct_of_days_below_30
SPY	500	13	15.3	20.3	99
KO	500	15.4	18.3	21.8	99.6
MSFT	500	19.2	25.1	36.6	77.2
AAPL	500	21.1	26.3	30.8	87
NVDA	500	35.7	44.4	59	0
TSLA	500	44.6	53.3	69.5	0
COIN	500	55.4	69.7	81.4	0
MSTR	500	53.8	75.7	104.6	0

Rows × columns: 8 × 6
Computed: 2026-08-02
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 Where a 30% reading sits in each ticker's own two-year distribution, derived from the stored result.
Column	Type	Range	Notes
`symbol`	text	8 distinct values (AAPL, COIN, KO…)
`sample_size`	number	every row is 500
`p10_iv_pct`	number	13 to 55.4	percent
`median_iv_pct`	number	15.3 to 75.7	percent
`p90_iv_pct`	number	20.3 to 104.6	percent
`pct_of_days_below_30`	number	0 to 99.6	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 2026-08-02, and the query below is what returned them.

the exact SQL behind every number

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', 'AAPL', 'MSFT', 'NVDA', 'TSLA', 'COIN', 'MSTR')
      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 symbol,
       count() AS sample_size,
       round(quantileDeterministic(0.1)(iv_pct, cityHash64(toString(date))), 1) AS p10_iv_pct,
       round(quantileDeterministic(0.5)(iv_pct, cityHash64(toString(date))), 1) AS median_iv_pct,
       round(quantileDeterministic(0.9)(iv_pct, cityHash64(toString(date))), 1) AS p90_iv_pct,
       round(100 * countIf(iv_pct < 30) / count(), 1) AS pct_of_days_below_30
FROM atm
GROUP BY symbol
HAVING count() >= 100
ORDER BY median_iv_pct

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