NVDA term structure either side of the February 26, 2025 report: median near-the-money IV by expiry band
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 2026-08-28, from IV Term Structure: What the Curve Tells You.
| expiry_band | iv_before_print_pct | iv_after_print_pct | iv_drop_pts |
|---|---|---|---|
| 5-20 days | 84.9 | 66.4 | 18.5 |
| 21-45 days | 67.3 | 56 | 11.3 |
| 46-90 days | 56.2 | 53.4 | 2.8 |
| 91-180 days | 52.8 | 50 | 2.8 |
| 181-365 days | 50 | 49 | 1 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
expiry_band |
text | 5 distinct values (181-365 days, 21-45 days, 46-90 days…) | |
iv_before_print_pct |
number | 50 to 84.9 | percent |
iv_after_print_pct |
number | 49 to 66.4 | percent |
iv_drop_pts |
number | 1 to 18.5 | 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.
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.
SELECT multiIf(days_to_expiry <= 20, '5-20 days',
days_to_expiry <= 45, '21-45 days',
days_to_expiry <= 90, '46-90 days',
days_to_expiry <= 180, '91-180 days',
'181-365 days') AS expiry_band,
round(100 * quantileDeterministicIf(0.5)(toFloat64(implied_volatility), cityHash64(ticker),
toDate(date) = toDate('2025-02-25')), 1) AS iv_before_print_pct,
round(100 * quantileDeterministicIf(0.5)(toFloat64(implied_volatility), cityHash64(ticker),
toDate(date) = toDate('2025-02-27')), 1) AS iv_after_print_pct,
round(100 * (quantileDeterministicIf(0.5)(toFloat64(implied_volatility), cityHash64(ticker),
toDate(date) = toDate('2025-02-25'))
- quantileDeterministicIf(0.5)(toFloat64(implied_volatility), cityHash64(ticker),
toDate(date) = toDate('2025-02-27'))), 1) AS iv_drop_pts
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NVDA'
AND date >= toDate('2025-02-25')
AND date < toDate('2025-02-28')
AND iv_converged = 1
AND volume > 0
AND implied_volatility BETWEEN 0.05 AND 5
AND abs(toFloat64(delta)) BETWEEN 0.35 AND 0.65
AND days_to_expiry BETWEEN 5 AND 365
GROUP BY expiry_band
HAVING countIf(toDate(date) = toDate('2025-02-25')) >= 3
AND countIf(toDate(date) = toDate('2025-02-27')) >= 3
ORDER BY min(days_to_expiry)