Daily at-the-money implied volatility, SPY and NVDA (Apr to Jun 2026)

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 2026-08-12, from Heston Model and the Volatility Smile.

Rows × columns

62 × 3

Period covered

2026-04-01 to 2026-06-30

Computed

2026-08-12

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

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 2026-08-12, and the query below is what returned them.

SELECT
    toString(date)                                                        AS session_date,
    round(avgIf(implied_volatility, underlying_symbol = 'SPY') * 100, 2)  AS spy_atm_iv_pct,
    round(avgIf(implied_volatility, underlying_symbol = 'NVDA') * 100, 2) AS nvda_atm_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('SPY', 'NVDA')
  AND date BETWEEN '2026-04-01' AND '2026-06-30'
  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
GROUP BY date
HAVING countIf(underlying_symbol = 'SPY') > 0
   AND countIf(underlying_symbol = 'NVDA') > 0
ORDER BY date