STRASMORE/EXPLORE 2,170 QUERIES

One stock, one session, three definitions of the IV input

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 2026-08-22, from IV Rank vs IV Percentile: Formulas Explained.

as of table 3×6read in context →
One stock, one session, three definitions of the IV input — 3 rows by 6 columns, computed from US exchange, SIP and OPRA data.
iv_seriescurrent_iv_pctlow_52w_iv_pcthigh_52w_iv_pctiv_rankiv_percentile
Wide net, any expiry32.0726.1575.7811.931.6
Front month ATM26.1416.63107.1610.538.3
Near 30 day ATM24.8918.9845.9221.945.5
Rows × columns
3 × 6
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 One stock, one session, three definitions of the IV input, derived from the stored result.
ColumnTypeRangeNotes
iv_series text 3 distinct values
current_iv_pct number 24.89 to 32.07 percent
low_52w_iv_pct number 16.63 to 26.15 percent
high_52w_iv_pct number 45.92 to 107.16 percent
iv_rank number 10.5 to 21.9 ratio or rate
iv_percentile number 31.6 to 45.5 ratio or rate

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 contracts AS
(
    SELECT
        date,
        days_to_expiry,
        abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) AS moneyness,
        toFloat64(implied_volatility) * 100                            AS iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'AAPL'
      AND date >= today() - 371
      AND iv_converged = 1
      AND volume > 0
),
defs AS
(
    SELECT
        spec.1 AS iv_series,
        spec.2 AS min_dte,
        spec.3 AS max_dte,
        spec.4 AS max_moneyness
    FROM
    (
        SELECT arrayJoin([
            ('Near 30 day ATM', 20, 45, 0.05),
            ('Front month ATM', 1, 19, 0.05),
            ('Wide net, any expiry', 1, 400, 0.30)
        ]) AS spec
    )
),
daily AS
(
    SELECT
        s.iv_series AS iv_series,
        c.date      AS date,
        avg(c.iv_pct) AS atm_iv
    FROM contracts AS c
    CROSS JOIN defs AS s
    WHERE c.days_to_expiry BETWEEN s.min_dte AND s.max_dte
      AND c.moneyness < s.max_moneyness
    GROUP BY iv_series, date
),
latest AS
(
    SELECT
        iv_series,
        argMax(atm_iv, date) AS iv_now
    FROM daily
    GROUP BY iv_series
)
SELECT
    d.iv_series             AS iv_series,
    round(l.iv_now, 2)      AS current_iv_pct,
    round(min(d.atm_iv), 2) AS low_52w_iv_pct,
    round(max(d.atm_iv), 2) AS high_52w_iv_pct,
    round(100 * (l.iv_now - min(d.atm_iv)) / nullIf(max(d.atm_iv) - min(d.atm_iv), 0), 1) AS iv_rank,
    round(100 * countIf(d.atm_iv < l.iv_now) / count(), 1)                                AS iv_percentile
FROM daily AS d
INNER JOIN latest AS l ON l.iv_series = d.iv_series
GROUP BY d.iv_series, l.iv_now
ORDER BY current_iv_pct DESC

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