iv_vs_rv

Name: iv_vs_rv
Creator: Strasmore
Published: 2026-10-09
License: https://www.strasmore.com/terms/

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 2026-10-09, from most-volatile-us-stocks-in-euros.

as of 2026-10-09 ranking 10×4read in context →

iv_vs_rv — 10 rows by 4 columns, computed 2026-10-09 from US exchange, SIP and OPRA data.
ticker	rv_30d_pct	iv_30d_pct	spread_pp
APH	210	42	-168
CRDO	99	73	-26
MSTR	94	68	-26
CRCL	90	73	-17
EIX	87	40	-47
BE	82	80	-2
CRWD	82	53	-29
COHR	81	73	-8
PCG	78	44	-34
COIN	78	65	-13

Rows × columns: 10 × 4
Computed: 2026-10-09
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for iv_vs_rv, derived from the stored result.
Column	Type	Range	Notes
`ticker`	text	10 distinct values (APH, BE, COHR…)
`rv_30d_pct`	number	78 to 210	percent
`iv_30d_pct`	number	40 to 80	percent
`spread_pp`	number	-168 to -2

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 2026-10-09, 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.

WITH
universe AS (
    SELECT ticker
    FROM global_markets.stocks_ratios
    WHERE date >= today() - 150
      AND ticker NOT IN ('SPCX')
    GROUP BY ticker
    HAVING argMax(market_cap, date) > 20000000000
       AND argMax(average_volume, date) > 5000000
       AND argMax(price, date) > 10
),
series AS (
    SELECT
        ticker,
        arrayMap(t -> t.2, arraySort(t -> t.1, groupArray((date, toFloat64(close))))) AS px
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN (SELECT ticker FROM universe)
      AND date >= today() - 120
      AND date <  today()
      AND close > 0
    GROUP BY ticker
),
realized AS (
    SELECT
        ticker,
        toUInt32(round(arrayReduce('stddevSamp', arraySlice(r, -30)) * sqrt(252) * 100)) AS rv_30d_pct
    FROM
    (
        SELECT
            ticker,
            arrayMap((x, y) -> log(x / y),
                     arraySlice(px, 2),
                     arraySlice(px, 1, length(px) - 1)) AS r
        FROM series
    )
    WHERE length(r) >= 30
    ORDER BY rv_30d_pct DESC
    LIMIT 10
),
implied AS (
    SELECT
        underlying_symbol                                      AS ticker,
        toUInt32(round(avg(implied_volatility) * 100))         AS iv_30d_pct,
        count()                                                AS contract_days
    FROM global_markets.options_greeks
    WHERE date >= today() - 30
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
      AND underlying_symbol IN (SELECT ticker FROM realized)
    GROUP BY underlying_symbol
    HAVING contract_days >= 20
)
SELECT
    r.ticker                                      AS ticker,
    r.rv_30d_pct                                  AS rv_30d_pct,
    i.iv_30d_pct                                  AS iv_30d_pct,
    toInt32(i.iv_30d_pct) - toInt32(r.rv_30d_pct) AS spread_pp
FROM realized AS r
INNER JOIN implied AS i ON i.ticker = r.ticker
ORDER BY r.rv_30d_pct DESC

SQL to run

WITH
universe AS (
    SELECT ticker
    FROM global_markets.stocks_ratios
    WHERE date >= today() - 150
      AND ticker NOT IN ('SPCX')
    GROUP BY ticker
    HAVING argMax(market_cap, date) > 20000000000
       AND argMax(average_volume, date) > 5000000
       AND argMax(price, date) > 10
),
series AS (
    SELECT
        ticker,
        arrayMap(t -> t.2, arraySort(t -> t.1, groupArray((date, toFloat64(close))))) AS px
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN (SELECT ticker FROM universe)
      AND date >= today() - 120
      AND date <  today()
      AND close > 0
    GROUP BY ticker
),
realized AS (
    SELECT
        ticker,
        toUInt32(round(arrayReduce('stddevSamp', arraySlice(r, -30)) * sqrt(252) * 100)) AS rv_30d_pct
    FROM
    (
        SELECT
            ticker,
            arrayMap((x, y) -> log(x / y),
                     arraySlice(px, 2),
                     arraySlice(px, 1, length(px) - 1)) AS r
        FROM series
    )
    WHERE length(r) >= 30
    ORDER BY rv_30d_pct DESC
    LIMIT 10
),
implied AS (
    SELECT
        underlying_symbol                                      AS ticker,
        toUInt32(round(avg(implied_volatility) * 100))         AS iv_30d_pct,
        count()                                                AS contract_days
    FROM global_markets.options_greeks
    WHERE date >= today() - 30
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
      AND underlying_symbol IN (SELECT ticker FROM realized)
    GROUP BY underlying_symbol
    HAVING contract_days >= 20
)
SELECT
    r.ticker                                      AS ticker,
    r.rv_30d_pct                                  AS rv_30d_pct,
    i.iv_30d_pct                                  AS iv_30d_pct,
    toInt32(i.iv_30d_pct) - toInt32(r.rv_30d_pct) AS spread_pp
FROM realized AS r
INNER JOIN implied AS i ON i.ticker = r.ticker
ORDER BY r.rv_30d_pct DESC

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