Where near-the-money implied volatility sat across the traded options market (July 28, 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 2026-08-17, from Is High Implied Volatility Good? IV in Context.
| iv_band | underlyings | share_pct | share_at_or_above_pct |
|---|---|---|---|
| under 20% | 29 | 7.4 | 100 |
| 20 to 30% | 70 | 17.9 | 92.6 |
| 30 to 40% | 76 | 19.4 | 74.7 |
| 40 to 60% | 89 | 22.7 | 55.4 |
| 60 to 80% | 53 | 13.5 | 32.7 |
| 80% and up | 75 | 19.1 | 19.1 |
- Rows × columns
- 6 × 4
- 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 |
|---|---|---|---|
iv_band |
text | 6 distinct values (20 to 30%, 30 to 40%, 40 to 60%…) | |
underlyings |
number | 29 to 89 | |
share_pct |
number | 7.4 to 22.7 | percent |
share_at_or_above_pct |
number | 19.1 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 per_name AS (
SELECT underlying_symbol AS u,
100 * quantileExact(0.5)(implied_volatility) AS iv_pct
FROM global_markets.options_greeks
WHERE date = '2026-07-28'
AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
AND abs(strike_price / underlying_close - 1) <= 0.05
AND expiration_date BETWEEN date + 20 AND date + 60
AND underlying_symbol != 'SPCX'
GROUP BY u
HAVING sum(volume) >= 500 AND count() >= 10
),
banded AS (
SELECT multiIf(iv_pct < 20, 'under 20%', iv_pct < 30, '20 to 30%', iv_pct < 40, '30 to 40%',
iv_pct < 60, '40 to 60%', iv_pct < 80, '60 to 80%', '80% and up') AS iv_band,
min(iv_pct) AS lo,
count() AS underlyings
FROM per_name
GROUP BY iv_band
)
SELECT iv_band,
underlyings,
round(100 * underlyings / (SELECT count() FROM per_name), 1) AS share_pct,
round(100 * sum(underlyings) OVER (ORDER BY lo DESC) / (SELECT count() FROM per_name), 1) AS share_at_or_above_pct
FROM banded
ORDER BY lo
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