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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.

as of ranking 4×4read in context →
SPY 30-day at-the-money implied volatility, sessions per VIX-style rung — 4 rows by 4 columns, computed from US exchange, SIP and OPRA data.
bucketsession_countshare_pctlatest_label
under 15183859.5Sep 2026
15 to 2073223.7Jul 2026
20 to 3045514.7Apr 2026
over 30632Apr 2025
Rows × columns
4 × 4
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 SPY 30-day at-the-money implied volatility, sessions per VIX-style rung, derived from the stored result.
ColumnTypeRangeNotes
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

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