Near-the-money implied volatility by time to expiry (Jan 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 2026-08-26, from Heston Model and the Volatility Smile.
| tenor | spy_iv_pct | nvda_iv_pct |
|---|---|---|
| 1 to 7 days | 17.05 | 41.22 |
| 8 to 21 days | 16.06 | 40.82 |
| 22 to 45 days | 16.47 | 41.46 |
| 46 to 90 days | 16.55 | 41.8 |
| 91 to 180 days | 17.47 | 44.07 |
| 181 to 365 days | 18.77 | 44.94 |
- Rows × columns
- 6 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
tenor |
text | 6 distinct values | |
spy_iv_pct |
number | 16.06 to 18.77 | percent |
nvda_iv_pct |
number | 40.82 to 44.94 | percent |
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 , 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.
SELECT
tenor,
round(avgIf(implied_volatility, underlying_symbol = 'SPY') * 100, 2) AS spy_iv_pct,
round(avgIf(implied_volatility, underlying_symbol = 'NVDA') * 100, 2) AS nvda_iv_pct
FROM
(
SELECT
implied_volatility,
underlying_symbol,
days_to_expiry,
multiIf(
days_to_expiry <= 7, '1 to 7 days',
days_to_expiry <= 21, '8 to 21 days',
days_to_expiry <= 45, '22 to 45 days',
days_to_expiry <= 90, '46 to 90 days',
days_to_expiry <= 180, '91 to 180 days',
'181 to 365 days') AS tenor
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('SPY', 'NVDA')
AND date BETWEEN '2026-01-02' AND '2026-06-30'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 1 AND 365
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.02
)
GROUP BY tenor
HAVING countIf(underlying_symbol = 'SPY') > 0
AND countIf(underlying_symbol = 'NVDA') > 0
ORDER BY min(days_to_expiry)
Work with this data in your AI assistant
Opens ready to query, with this page's data. Free, no account.