The 25-delta risk reversal for SPY, AAPL and TSLA, nearest-to-30-day expiration, latest session
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 2026-11-01, from Risk Reversal Options: Sell a Put, Buy a Call.
| symbol | priced_on | expiry | put_25d_iv_pct | call_25d_iv_pct | risk_reversal_pct |
|---|---|---|---|---|---|
| SPY | October 29, 2026 | November 27, 2026 | 16.03 | 12.77 | 3.25 |
| AAPL | October 29, 2026 | November 27, 2026 | 31.15 | 22.18 | 8.97 |
| TSLA | October 29, 2026 | November 27, 2026 | 34.11 | 40.56 | -6.45 |
- Rows × columns
- 3 × 6
- 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 | 3 distinct values (AAPL, SPY, TSLA) | |
priced_on |
text | 1 distinct value (October 29, 2026) | |
expiry |
text | 1 distinct value (November 27, 2026) | |
put_25d_iv_pct |
number | 16.03 to 34.11 | percent |
call_25d_iv_pct |
number | 12.77 to 40.56 | percent |
risk_reversal_pct |
number | -6.45 to 8.97 | percent |
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.
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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,
priced_on,
expiry,
round(100 * put_iv_25d, 2) AS put_25d_iv_pct,
round(100 * call_iv_25d, 2) AS call_25d_iv_pct,
round(100 * (put_iv_25d - call_iv_25d), 2) AS risk_reversal_pct
FROM
(
SELECT
underlying_symbol AS symbol,
concat(monthName(any(date)), ' ', toString(toDayOfMonth(any(date))), ', ',
toString(toYear(any(date)))) AS priced_on,
concat(monthName(expiration_date), ' ', toString(toDayOfMonth(expiration_date)), ', ',
toString(toYear(expiration_date))) AS expiry,
any(days_to_expiry) AS dte,
maxIf(-delta, delta < 0 AND -delta <= 0.25) AS p_lo_d,
argMaxIf(implied_volatility, -delta, delta < 0 AND -delta <= 0.25) AS p_lo_iv,
minIf(-delta, delta < 0 AND -delta >= 0.25) AS p_hi_d,
argMinIf(implied_volatility, -delta, delta < 0 AND -delta >= 0.25) AS p_hi_iv,
maxIf(delta, delta > 0 AND delta <= 0.25) AS c_lo_d,
argMaxIf(implied_volatility, delta, delta > 0 AND delta <= 0.25) AS c_lo_iv,
minIf(delta, delta > 0 AND delta >= 0.25) AS c_hi_d,
argMinIf(implied_volatility, delta, delta > 0 AND delta >= 0.25) AS c_hi_iv,
if(p_hi_d = p_lo_d, p_lo_iv,
p_lo_iv + (p_hi_iv - p_lo_iv) * (0.25 - p_lo_d) / (p_hi_d - p_lo_d)) AS put_iv_25d,
if(c_hi_d = c_lo_d, c_lo_iv,
c_lo_iv + (c_hi_iv - c_lo_iv) * (0.25 - c_lo_d) / (c_hi_d - c_lo_d)) AS call_iv_25d
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('SPY', 'AAPL', 'TSLA')
AND date = (
SELECT max(date)
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date >= today() - 14
)
AND iv_converged = 1
AND volume > 0
AND abs(delta) BETWEEN 0.05 AND 0.5
GROUP BY underlying_symbol, expiration_date
HAVING countIf(delta < 0 AND -delta <= 0.25) > 0
AND countIf(delta < 0 AND -delta >= 0.25) > 0
AND countIf(delta > 0 AND delta <= 0.25) > 0
AND countIf(delta > 0 AND delta >= 0.25) > 0
AND dte BETWEEN 20 AND 45
ORDER BY symbol, abs(dte - 30)
LIMIT 1 BY symbol
)
ORDER BY indexOf(['SPY', 'AAPL', 'TSLA'], symbol)
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