How often front volatility sat above back volatility
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 2026-09-20, from What Is a Calendar Spread in Options?.
| symbol | inverted_days_pct | avg_slope_pts | obs_count |
|---|---|---|---|
| KO | 55.3 | 0.51 | 273 |
| AAPL | 33.3 | -0.03 | 273 |
| NVDA | 26.7 | -1.33 | 273 |
| MSFT | 25.3 | -0.44 | 273 |
| SPY | 21.6 | -0.84 | 273 |
- Rows × columns
- 5 × 4
- 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 |
|---|---|---|---|
symbol |
text | 5 distinct values (AAPL, KO, MSFT…) | |
inverted_days_pct |
number | 21.6 to 55.3 | percent |
avg_slope_pts |
number | -1.33 to 0.51 | |
obs_count |
number | every row is 273 | count |
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
symbol,
round(100 * countIf(slope_pts > 0) / count(), 1) AS inverted_days_pct,
round(avg(slope_pts), 2) AS avg_slope_pts,
count() AS obs_count
FROM
(
SELECT
underlying_symbol AS symbol,
date,
(avgIf(implied_volatility, days_to_expiry BETWEEN 7 AND 25)
- avgIf(implied_volatility, days_to_expiry BETWEEN 60 AND 120)) * 100 AS slope_pts
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'SPY', 'KO')
AND date >= today() - 400
AND date <= today() - 2
AND iv_converged = 1
AND volume > 0
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY symbol, date
HAVING countIf(days_to_expiry BETWEEN 7 AND 25) > 0
AND countIf(days_to_expiry BETWEEN 60 AND 120) > 0
)
GROUP BY symbol
ORDER BY inverted_days_pct DESC