AAPL front band against back band implied volatility, trailing months

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
    toString(date)                                                                AS session_date,
    round(avgIf(implied_volatility, days_to_expiry BETWEEN 7 AND 25) * 100, 1)    AS near_iv_pct,
    round(avgIf(implied_volatility, days_to_expiry BETWEEN 60 AND 120) * 100, 1)  AS far_iv_pct,
    round((avgIf(implied_volatility, days_to_expiry BETWEEN 7 AND 25)
         - avgIf(implied_volatility, days_to_expiry BETWEEN 60 AND 120)) * 100, 1) AS near_minus_far_spread
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
  AND date >= today() - 120
  AND date <= today() - 2
  AND iv_converged = 1
  AND volume > 0
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY date
HAVING countIf(days_to_expiry BETWEEN 7 AND 25) > 0
   AND countIf(days_to_expiry BETWEEN 60 AND 120) > 0
ORDER BY date