SPY implied volatility by strike distance, 20 to 45 days to expiry (Jan to Jun 2026)

WITH
    (
        SELECT avg(implied_volatility)
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND date BETWEEN '2026-01-02' 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) <= 0.01
    ) AS atm_iv
SELECT
    concat(if(m_bucket > 0, '+', ''), toString(m_bucket), '%') AS moneyness,
    round(avg(iv) * 100, 2)                                    AS iv_pct,
    round((avg(iv) - atm_iv) * 100, 2)                          AS iv_vs_atm_pts,
    count()                                                     AS contracts
FROM
(
    SELECT
        implied_volatility AS iv,
        toInt16(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 50) * 2) AS m_bucket
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date BETWEEN '2026-01-02' 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) <= 0.12
)
GROUP BY m_bucket
HAVING count() >= 100
ORDER BY m_bucket