Distribution of the 21 session volatility risk premium, in volatility points
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 2026-10-16, from The Volatility Risk Premium, Measured.
| bucket | windows | share_pct |
|---|---|---|
| under -10 | 35 | 2.7 |
| -10 to -5 | 74 | 5.7 |
| -5 to 0 | 215 | 16.7 |
| 0 to +5 | 706 | 54.8 |
| +5 to +10 | 253 | 19.6 |
| +10 to +15 | 5 | 0.4 |
- 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 |
|---|---|---|---|
bucket |
text | 6 distinct values (+10 to +15, +5 to +10, -10 to -5…) | |
windows |
number | 5 to 706 | |
share_pct |
number | 0.4 to 54.8 | 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.
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)
),
implied AS
(
SELECT
date,
100 * avg(toFloat64(implied_volatility)) AS iv_pct
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 abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
AND date >= '2021-08-01'
GROUP BY date
HAVING count() >= 20
),
paired AS
(
SELECT i.iv_pct - f.rv_pct AS premium_pct
FROM implied AS i
INNER JOIN forward_rv AS f ON f.date = i.date
WHERE f.sessions_ahead = 21
),
totals AS
(
SELECT count() AS all_windows FROM paired
)
SELECT
multiIf(
p.premium_pct < -10, 'under -10',
p.premium_pct < -5, '-10 to -5',
p.premium_pct < 0, '-5 to 0',
p.premium_pct < 5, '0 to +5',
p.premium_pct < 10, '+5 to +10',
p.premium_pct < 15, '+10 to +15',
'over +15') AS bucket,
count() AS windows,
round(100 * count() / any(t.all_windows), 1) AS share_pct
FROM paired AS p
CROSS JOIN totals AS t
GROUP BY bucket
ORDER BY min(p.premium_pct)
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