SPY implied volatility by strike distance from spot, 20 to 45 day expiries, September 2026

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SELECT
    bucket                      AS strike_vs_spot,
    round(avg(iv) * 100, 2)     AS iv_pct,
    count()                     AS contract_count
FROM
(
    SELECT
        iv,
        m,
        multiIf(m < -0.06, '6 to 10% below spot',
                m < -0.03, '3 to 6% below',
                m < -0.01, '1 to 3% below',
                m <=  0.01, 'at the money',
                m <=  0.03, '1 to 3% above',
                m <=  0.06, '3 to 6% above',
                '6 to 10% above spot')                            AS bucket
    FROM
    (
        SELECT
            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 >= '2026-09-01'
          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
    )
    WHERE abs(m) <= 0.10
)
GROUP BY bucket
HAVING count() >= 50
ORDER BY min(m)