SPY at-the-money implied volatility and downside skew spread, week by week, 2026

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SELECT
    toString(week_start)                                 AS week,
    formatDateTime(week_start, '%b %e')                  AS week_label,
    round(avgIf(iv, abs(m) <= 0.01) * 100, 2)            AS atm_iv_pct,
    round((avgIf(iv, m >= -0.08 AND m <= -0.05)
           - avgIf(iv, abs(m) <= 0.01)) * 100, 2)        AS skew_spread_pts
FROM
(
    SELECT
        toMonday(date)                                            AS week_start,
        toFloat64(implied_volatility)                             AS iv,
        toFloat64(strike_price) / toFloat64(underlying_close) - 1  AS m
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= '2026-01-05'
      AND date <  '2026-10-01'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND underlying_close > 0
      AND implied_volatility > 0
)
GROUP BY week_start
HAVING countIf(abs(m) <= 0.01) >= 20
   AND countIf(m >= -0.08 AND m <= -0.05) >= 20
ORDER BY week_start