SPY 30-day at-the-money implied volatility, sessions per VIX-style rung

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
    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