Forward volatility embedded in the SPY monthly expiry curve, last week of September 2026

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
    toString(expiration_date)                      AS expiry_date,
    formatDateTime(expiration_date, '%b %e, %Y')   AS expiry_label,
    round(iv * 100, 2)                             AS spot_iv_pct,
    round(sqrt((dte * iv * iv - prev_dte * prev_iv * prev_iv)
               / (dte - prev_dte)) * 100, 2)       AS forward_iv_pct
FROM
(
    SELECT
        expiration_date,
        iv,
        dte,
        lagInFrame(iv)  OVER (ORDER BY expiration_date) AS prev_iv,
        lagInFrame(dte) OVER (ORDER BY expiration_date) AS prev_dte
    FROM
    (
        SELECT
            expiration_date,
            avg(toFloat64(implied_volatility)) AS iv,
            avg(days_to_expiry)                AS dte
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND date >= '2026-09-24'
          AND date <  '2026-10-01'
          AND iv_converged = 1
          AND volume > 0
          AND underlying_close > 0
          AND implied_volatility > 0
          AND days_to_expiry BETWEEN 10 AND 400
          AND toDayOfWeek(expiration_date) = 5
          AND toDayOfMonth(expiration_date) BETWEEN 15 AND 21
          AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.01
        GROUP BY expiration_date
        HAVING count() >= 20
    )
)
WHERE prev_dte > 0
  AND dte > prev_dte
  AND dte * iv * iv > prev_dte * prev_iv * prev_iv
ORDER BY expiration_date