{"slug":"the-heston-model-and-the-volatility-smile","qid":"atm_iv_trace","label":"Daily at-the-money implied volatility, SPY and NVDA (Apr to Jun 2026)","post_title":"Heston Model and the Volatility Smile","post_url":"/blog/the-heston-model-and-the-volatility-smile#q-atm_iv_trace","columns":["session_date","spy_atm_iv_pct","nvda_atm_iv_pct"],"rows":[{"session_date":"2026-04-01","spy_atm_iv_pct":20.39,"nvda_atm_iv_pct":36.83},{"session_date":"2026-04-02","spy_atm_iv_pct":20.27,"nvda_atm_iv_pct":34.49},{"session_date":"2026-04-06","spy_atm_iv_pct":20.2,"nvda_atm_iv_pct":35.31},{"session_date":"2026-04-07","spy_atm_iv_pct":20.79,"nvda_atm_iv_pct":37.3},{"session_date":"2026-04-08","spy_atm_iv_pct":18.34,"nvda_atm_iv_pct":35.84},{"session_date":"2026-04-09","spy_atm_iv_pct":17,"nvda_atm_iv_pct":34.91},{"session_date":"2026-04-10","spy_atm_iv_pct":16.51,"nvda_atm_iv_pct":34.77},{"session_date":"2026-04-13","spy_atm_iv_pct":16.22,"nvda_atm_iv_pct":36.33},{"session_date":"2026-04-14","spy_atm_iv_pct":16.06,"nvda_atm_iv_pct":36.85},{"session_date":"2026-04-15","spy_atm_iv_pct":15.93,"nvda_atm_iv_pct":38.13},{"session_date":"2026-04-16","spy_atm_iv_pct":15.99,"nvda_atm_iv_pct":37.33},{"session_date":"2026-04-17","spy_atm_iv_pct":15.8,"nvda_atm_iv_pct":35.85},{"session_date":"2026-04-20","spy_atm_iv_pct":16.16,"nvda_atm_iv_pct":37.34},{"session_date":"2026-04-21","spy_atm_iv_pct":16.9,"nvda_atm_iv_pct":37.36},{"session_date":"2026-04-22","spy_atm_iv_pct":16.39,"nvda_atm_iv_pct":38.2},{"session_date":"2026-04-23","spy_atm_iv_pct":16.42,"nvda_atm_iv_pct":38.93},{"session_date":"2026-04-24","spy_atm_iv_pct":16.32,"nvda_atm_iv_pct":40.34},{"session_date":"2026-04-27","spy_atm_iv_pct":16.06,"nvda_atm_iv_pct":45.1},{"session_date":"2026-04-28","spy_atm_iv_pct":16.01,"nvda_atm_iv_pct":44.18},{"session_date":"2026-04-29","spy_atm_iv_pct":15.72,"nvda_atm_iv_pct":44.97},{"session_date":"2026-04-30","spy_atm_iv_pct":15.19,"nvda_atm_iv_pct":44.64},{"session_date":"2026-05-01","spy_atm_iv_pct":15.63,"nvda_atm_iv_pct":43.96},{"session_date":"2026-05-04","spy_atm_iv_pct":16.3,"nvda_atm_iv_pct":42.85},{"session_date":"2026-05-05","spy_atm_iv_pct":15.24,"nvda_atm_iv_pct":42.77},{"session_date":"2026-05-06","spy_atm_iv_pct":16.11,"nvda_atm_iv_pct":45.68},{"session_date":"2026-05-07","spy_atm_iv_pct":15.98,"nvda_atm_iv_pct":44.37},{"session_date":"2026-05-08","spy_atm_iv_pct":15.72,"nvda_atm_iv_pct":44.33},{"session_date":"2026-05-11","spy_atm_iv_pct":16.79,"nvda_atm_iv_pct":44.92},{"session_date":"2026-05-12","spy_atm_iv_pct":16.27,"nvda_atm_iv_pct":45.66},{"session_date":"2026-05-13","spy_atm_iv_pct":16.12,"nvda_atm_iv_pct":46.82},{"session_date":"2026-05-14","spy_atm_iv_pct":15.98,"nvda_atm_iv_pct":48.03},{"session_date":"2026-05-15","spy_atm_iv_pct":16.43,"nvda_atm_iv_pct":48.35},{"session_date":"2026-05-18","spy_atm_iv_pct":15.6,"nvda_atm_iv_pct":46.35},{"session_date":"2026-05-19","spy_atm_iv_pct":15.9,"nvda_atm_iv_pct":45.02},{"session_date":"2026-05-20","spy_atm_iv_pct":15.84,"nvda_atm_iv_pct":45.82},{"session_date":"2026-05-21","spy_atm_iv_pct":14.41,"nvda_atm_iv_pct":38.44},{"session_date":"2026-05-22","spy_atm_iv_pct":15.21,"nvda_atm_iv_pct":37.36},{"session_date":"2026-05-26","spy_atm_iv_pct":14.73,"nvda_atm_iv_pct":39.01},{"session_date":"2026-05-27","spy_atm_iv_pct":14.55,"nvda_atm_iv_pct":37.9},{"session_date":"2026-05-28","spy_atm_iv_pct":13.78,"nvda_atm_iv_pct":38.29},{"session_date":"2026-05-29","spy_atm_iv_pct":13.68,"nvda_atm_iv_pct":39.83},{"session_date":"2026-06-01","spy_atm_iv_pct":14.07,"nvda_atm_iv_pct":41.98},{"session_date":"2026-06-02","spy_atm_iv_pct":13.62,"nvda_atm_iv_pct":41.69},{"session_date":"2026-06-03","spy_atm_iv_pct":14.67,"nvda_atm_iv_pct":40.45},{"session_date":"2026-06-04","spy_atm_iv_pct":13.85,"nvda_atm_iv_pct":38.85},{"session_date":"2026-06-05","spy_atm_iv_pct":17.49,"nvda_atm_iv_pct":42.25},{"session_date":"2026-06-08","spy_atm_iv_pct":16.25,"nvda_atm_iv_pct":40.2},{"session_date":"2026-06-09","spy_atm_iv_pct":17.1,"nvda_atm_iv_pct":41.41},{"session_date":"2026-06-10","spy_atm_iv_pct":19,"nvda_atm_iv_pct":43.16},{"session_date":"2026-06-11","spy_atm_iv_pct":17.03,"nvda_atm_iv_pct":40.55},{"session_date":"2026-06-12","spy_atm_iv_pct":15.35,"nvda_atm_iv_pct":37.72},{"session_date":"2026-06-15","spy_atm_iv_pct":14.1,"nvda_atm_iv_pct":37.1},{"session_date":"2026-06-16","spy_atm_iv_pct":14.25,"nvda_atm_iv_pct":36.1},{"session_date":"2026-06-17","spy_atm_iv_pct":15.16,"nvda_atm_iv_pct":36.75},{"session_date":"2026-06-18","spy_atm_iv_pct":14.62,"nvda_atm_iv_pct":36.29},{"session_date":"2026-06-22","spy_atm_iv_pct":15.57,"nvda_atm_iv_pct":35.76},{"session_date":"2026-06-23","spy_atm_iv_pct":16.8,"nvda_atm_iv_pct":37.54},{"session_date":"2026-06-24","spy_atm_iv_pct":16.58,"nvda_atm_iv_pct":37.8},{"session_date":"2026-06-25","spy_atm_iv_pct":16.86,"nvda_atm_iv_pct":38.19},{"session_date":"2026-06-26","spy_atm_iv_pct":16.38,"nvda_atm_iv_pct":37.52},{"session_date":"2026-06-29","spy_atm_iv_pct":15.38,"nvda_atm_iv_pct":37.69},{"session_date":"2026-06-30","spy_atm_iv_pct":14.45,"nvda_atm_iv_pct":38.22}],"shape":"series","sql":"SELECT\n    toString(date)                                                        AS session_date,\n    round(avgIf(implied_volatility, underlying_symbol = 'SPY') * 100, 2)  AS spy_atm_iv_pct,\n    round(avgIf(implied_volatility, underlying_symbol = 'NVDA') * 100, 2) AS nvda_atm_iv_pct\nFROM global_markets.options_greeks\nWHERE underlying_symbol IN ('SPY', 'NVDA')\n  AND date BETWEEN '2026-04-01' AND '2026-06-30'\n  AND iv_converged = 1\n  AND volume > 0\n  AND days_to_expiry BETWEEN 20 AND 45\n  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.05\nGROUP BY date\nHAVING countIf(underlying_symbol = 'SPY') > 0\n   AND countIf(underlying_symbol = 'NVDA') > 0\nORDER BY date","computed_at":"2026-08-12T15:51:34.295318+00:00","elapsed":0.00322629}