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SPY, the call's delta, and its implied volatility at four life stages

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 2026-07-16, from What Are LEAPS? Long-Dated Options.

as of series 4×4read in context →
SPY, the call's delta, and its implied volatility at four life stages — 4 rows by 4 columns, computed from US exchange, SIP and OPRA data.
datespydeltaiv_pct
2024-01-02472.670.23110.9
2024-12-09604.30.66815
2025-10-09671.960.89719.7
2026-01-14689.620.97598.1
Rows × columns
4 × 4
Period covered
to
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for SPY, the call's delta, and its implied volatility at four life stages, derived from the stored result.
ColumnTypeRangeNotes
date date 2024-01-02 to 2026-01-14
spy number 472.67 to 689.62
delta number 0.231 to 0.975
iv_pct number 10.9 to 98.1 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.

the exact SQL behind every number 
SELECT date,
       round(avg(underlying_close), 2) AS spy,
       round(avg(delta), 3) AS delta,
       round(avg(implied_volatility) * 100, 1) AS iv_pct
FROM global_markets.options_greeks
WHERE ticker = 'O:SPY260116C00600000' AND date IN ('2024-01-02', '2024-12-09', '2025-10-09', '2026-01-14') AND implied_volatility > 0.02
GROUP BY date ORDER BY date

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