Implied volatility divided by 16, next to the realized daily move

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
    iv.symbol                AS symbol,
    round(iv.iv_pct, 1)      AS annual_iv_pct,
    round(iv.iv_pct / 16, 2) AS implied_daily_pct,
    round(rv.sigma_pct, 2)   AS realized_daily_pct
FROM
(
    SELECT
        underlying_symbol             AS symbol,
        avg(implied_volatility) * 100 AS iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'AMZN', 'KO')
      AND date >= today() - 190
      AND date <  today() - 1
      AND iv_converged = 1
      AND volume > 0
      AND underlying_close > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
    GROUP BY symbol
) AS iv
INNER JOIN
(
    SELECT
        symbol,
        stddevPop(daily_return) * 100 AS sigma_pct
    FROM
    (
        SELECT
            symbol,
            close_px / lagInFrame(close_px) OVER (PARTITION BY symbol ORDER BY session_date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) - 1 AS daily_return
        FROM
        (
            SELECT
                ticker                AS symbol,
                date                  AS session_date,
                toFloat64(max(close)) AS close_px
            FROM global_markets.stocks_daily_aggs
            WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'AMZN', 'KO')
              AND date >= today() - 190
              AND date <  today() - 1
            GROUP BY symbol, session_date
        )
    )
    WHERE isFinite(daily_return)
    GROUP BY symbol
) AS rv ON iv.symbol = rv.symbol
ORDER BY annual_iv_pct DESC