STRASMORE/EXPLORE 3,171 QUERIES

One SPY put traced through its final weeks, June 2024 expiry

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 2026-10-07, from What Breaks an Options Backtest.

as of series 35×5read in context →
One SPY put traced through its final weeks, June 2024 expiry — 35 rows by 5 columns, computed from US exchange, SIP and OPRA data.
session_dateas_ofmarkvega_per_pointiv_pct
2024-05-01May 10.310.07129.8
2024-05-02May 20.280.06530.5
2024-05-03May 30.210.05130.8
2024-05-06May 60.160.04131.5
2024-05-07May 70.170.04232.2
2024-05-08May 80.160.0432.2
2024-05-09May 90.150.03733.1
2024-05-10May 100.140.03533
2024-05-13May 130.150.03534.7
2024-05-14May 140.130.03135.1
2024-05-15May 150.110.02636.3
2024-05-16May 160.110.02636.4
2024-05-17May 170.10.02436.7
2024-05-20May 200.090.02138
2024-05-21May 210.070.01737.8
2024-05-22May 220.080.01938.9
2024-05-23May 230.10.02239.4
2024-05-24May 240.080.01839.9
2024-05-28May 280.080.01743
2024-05-29May 290.090.01943.1
2024-05-30May 300.090.01843.4
2024-05-31May 310.060.01344.2
2024-06-03Jun 30.050.01146.6
2024-06-04Jun 40.040.00947.3
2024-06-05Jun 50.040.00850.4
2024-06-06Jun 60.030.00650.5
2024-06-07Jun 70.020.00550
2024-06-10Jun 100.020.00456.9
2024-06-11Jun 110.020.00460.3
2024-06-12Jun 120.010.00261.8
2024-06-13Jun 130.010.00265.6
2024-06-14Jun 140.010.00270.2
2024-06-17Jun 170.010.00195.1
2024-06-18Jun 180.010.001110.5
2024-06-20Jun 200.010.001189.6
Rows × columns
35 × 5
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 One SPY put traced through its final weeks, June 2024 expiry, derived from the stored result.
ColumnTypeRangeNotes
session_date date 2024-05-01 to 2024-06-20
as_of text 35 distinct values (Jun 10, Jun 11, Jun 12…)
mark number 0.01 to 0.31
vega_per_point number 0.001 to 0.071
iv_pct number 29.8 to 189.6 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
    date                                          AS session_date,
    formatDateTime(date, '%b %e')                 AS as_of,
    round(toFloat64(option_close), 2)             AS mark,
    round(toFloat64(vega), 3)                     AS vega_per_point,
    round(100 * toFloat64(implied_volatility), 1) AS iv_pct
FROM global_markets.options_greeks
WHERE ticker =
(
    SELECT ticker
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND expiration_date >= '2024-06-01'
      AND expiration_date <  '2024-07-01'
      AND startsWith(lower(option_type), 'p')
      AND iv_converged = 1
      AND volume > 0
    GROUP BY ticker
    ORDER BY count() DESC, sum(volume) DESC
    LIMIT 1
)
  AND date >= '2024-05-01'
  AND date <  '2024-07-01'
  AND iv_converged = 1
ORDER BY date
⌘/Ctrl + Enter

Work with this data in your AI assistant

Opens ready to query, with this page's data. Free, no account.

More from this analysisWhat Breaks an Options Backtest
Contracts that traded once, and contracts still trading at expiry series 57×5 → How much of a modelled credit survives one volatility point of vega table 6×5 → In-the-money calls with extrinsic value below the upcoming dividend table 5×5 → Traded per-contract records by underlying, August 2021 onward table 5×7 → ZM at-the-money 30-day implied volatility, recent sessions series 81×4 → AAPL realized volatility: 20-session against 60-session lookback series 72×3 → See all 3,171 queries →