SPY 30-day at-the-money implied volatility, sessions per VIX-style rung
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 2026-09-16, from What Is a High VIX? Levels and Extremes.
| bucket | session_count | share_pct | latest_label |
|---|---|---|---|
| under 15 | 1838 | 59.5 | Sep 2026 |
| 15 to 20 | 732 | 23.7 | Jul 2026 |
| 20 to 30 | 455 | 14.7 | Apr 2026 |
| over 30 | 63 | 2 | Apr 2025 |
- Rows × columns
- 4 × 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 |
|---|---|---|---|
bucket |
text | 4 distinct values (15 to 20, 20 to 30, over 30…) | |
session_count |
number | 63 to 1,838 | count |
share_pct |
number | 2 to 59.5 | percent |
latest_label |
text | 4 distinct values (Apr 2025, Apr 2026, Jul 2026…) |
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
bucket,
session_count,
round(session_count * 100.0 / sum(session_count) OVER (), 1) AS share_pct,
latest_label
FROM
(
SELECT
bucket,
count() AS session_count,
min(iv_pct) AS bucket_floor,
formatDateTime(max(date), '%b %Y') AS latest_label
FROM
(
SELECT
date,
round(avg(implied_volatility) * 100, 2) AS iv_pct,
multiIf(iv_pct < 15, 'under 15',
iv_pct < 20, '15 to 20',
iv_pct < 30, '20 to 30',
'over 30') AS bucket
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
GROUP BY date
)
GROUP BY bucket
)
ORDER BY bucket_floor
Run your own version of this
The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.
More from this analysisWhat Is a High VIX? Levels and Extremes
SPY realized volatility by calendar year, with the biggest day and the count of 2%+ sessions
ranking 23×4
→
SPY on August 5, 2024, in half-hour buckets (ET): the low and the close of each
series 13×3
→
SPY daily closes from the VIX record close (March 16, 2020) through March 27
series 10×4
→
SPY near-the-money implied volatility by days to expiry
ranking 8×2
→
SPY absolute daily move, median and 90th percentile by year
ranking 8×4
→
Median daily percent change: VXX against SPY, by calendar year
ranking 7×4
→
See all 2,272 queries →