The 21 session premium across strikes, puts and calls, 20 to 45 days to expiry

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.

WITH
closes AS
(
    SELECT
        date,
        toFloat64(any(close)) AS px
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= '2021-06-01'
    GROUP BY date
),
daily_returns AS
(
    SELECT
        date,
        pow(log(px / lagInFrame(px) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW)), 2) AS r2
    FROM closes
),
forward_rv AS
(
    SELECT
        date,
        100 * sqrt(252 * avg(r2) OVER (ORDER BY date ROWS BETWEEN 1 FOLLOWING AND 21 FOLLOWING)) AS rv_pct,
        count(r2) OVER (ORDER BY date ROWS BETWEEN 1 FOLLOWING AND 21 FOLLOWING)                 AS sessions_ahead
    FROM daily_returns
    WHERE isFinite(r2)
),
contracts AS
(
    SELECT
        date,
        delta,
        toFloat64(implied_volatility)                         AS iv,
        toFloat64(strike_price) / toFloat64(underlying_close) AS moneyness_ratio
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND date >= '2021-08-01'
),
by_day AS
(
    SELECT
        c.date AS date,
        multiIf(c.moneyness_ratio < 0.90,  '0.85-0.90',
                c.moneyness_ratio < 0.95,  '0.90-0.95',
                c.moneyness_ratio < 0.975, '0.95-0.975',
                c.moneyness_ratio < 1.00,  '0.975-1.00',
                c.moneyness_ratio < 1.025, '1.00-1.025',
                c.moneyness_ratio < 1.05,  '1.025-1.05',
                                           '1.05-1.10') AS moneyness,
        avgIf(100 * c.iv, c.delta < 0)                   AS put_iv_pct,
        avgIf(100 * c.iv, c.delta > 0)                   AS call_iv_pct,
        any(f.rv_pct)                                    AS rv_pct
    FROM contracts AS c
    INNER JOIN forward_rv AS f ON f.date = c.date
    WHERE c.moneyness_ratio BETWEEN 0.85 AND 1.10
      AND f.sessions_ahead = 21
    GROUP BY date, moneyness
    HAVING countIf(c.delta < 0) > 0
       AND countIf(c.delta > 0) > 0
)
SELECT
    moneyness,
    round(avg(put_iv_pct - rv_pct), 2)  AS put_premium_pct,
    round(avg(call_iv_pct - rv_pct), 2) AS call_premium_pct
FROM by_day
GROUP BY moneyness
ORDER BY moneyness