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

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