SPY at-the-money and downside implied volatility across expiry bands, September 2026

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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
    band                                                  AS expiry_band,
    round(avgIf(iv, abs(m) <= 0.01) * 100, 2)             AS atm_iv_pct,
    round(avgIf(iv, m >= -0.08 AND m <= -0.05) * 100, 2)  AS downside_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
        iv,
        m,
        dte,
        multiIf(dte <=  21, '7 to 21 days',
                dte <=  45, '22 to 45 days',
                dte <=  90, '46 to 90 days',
                dte <= 180, '91 to 180 days',
                '181 to 365 days')                                    AS band
    FROM
    (
        SELECT
            toFloat64(implied_volatility)                             AS iv,
            toFloat64(strike_price) / toFloat64(underlying_close) - 1 AS m,
            days_to_expiry                                            AS dte
        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 7 AND 365
          AND underlying_close > 0
          AND implied_volatility > 0
    )
)
GROUP BY band
HAVING countIf(abs(m) <= 0.01) >= 50
   AND countIf(m >= -0.08 AND m <= -0.05) >= 50
ORDER BY min(dte)