bracket_legs

Name: bracket_legs
Creator: Strasmore
Published: 2026-09-12
License: https://www.strasmore.com/terms/

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 2026-09-12, from what-is-an-implied-volatility-index.

as of 2026-09-12 table 2×7read in context →

bracket_legs — 2 rows by 7 columns, computed 2026-09-12 from US exchange, SIP and OPRA data.
leg	expiry	dte	atm_iv_pct	contract_count	weight_pct	iv30_pct
near	July 10, 2026	25	21.77	6	28.6	21.83
far	July 17, 2026	32	21.85	6	71.4	21.83

Rows × columns: 2 × 7
Computed: 2026-09-12
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 bracket_legs, derived from the stored result.
Column	Type	Range	Notes
`leg`	text	2 distinct values (far, near)
`expiry`	text	2 distinct values (July 10, 2026, July 17, 2026)
`dte`	number	25 to 32
`atm_iv_pct`	number	21.77 to 21.85	percent
`contract_count`	number	every row is 6	count
`weight_pct`	number	28.6 to 71.4	percent
`iv30_pct`	number	every row is 21.83	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 2026-09-12, and the query below is what returned them.

the exact SQL behind every number

SELECT
    leg,
    leg_expiry                                              AS expiry,
    leg_dte                                                 AS dte,
    round(leg_iv * 100, 2)                                  AS atm_iv_pct,
    leg_contracts                                           AS contract_count,
    round(leg_weight * 100, 1)                              AS weight_pct,
    round(sqrt((near_iv * near_iv * near_dte * (far_dte - 30)
              + far_iv * far_iv * far_dte * (30 - near_dte))
              / (far_dte - near_dte) / 30) * 100, 2)        AS iv30_pct
FROM
(
    SELECT
        maxIf(days_to_expiry, days_to_expiry <= 30)                     AS near_dte,
        minIf(days_to_expiry, days_to_expiry > 30)                      AS far_dte,
        argMaxIf(atm_iv, days_to_expiry, days_to_expiry <= 30)          AS near_iv,
        argMinIf(atm_iv, days_to_expiry, days_to_expiry > 30)           AS far_iv,
        argMaxIf(expiry_label, days_to_expiry, days_to_expiry <= 30)    AS near_expiry,
        argMinIf(expiry_label, days_to_expiry, days_to_expiry > 30)     AS far_expiry,
        argMaxIf(contracts, days_to_expiry, days_to_expiry <= 30)       AS near_contracts,
        argMinIf(contracts, days_to_expiry, days_to_expiry > 30)        AS far_contracts
    FROM
    (
        SELECT
            concat(monthName(expiration_date), ' ', toString(toDayOfMonth(expiration_date)), ', ', toString(toYear(expiration_date))) AS expiry_label,
            days_to_expiry,
            avg(toFloat64(implied_volatility))  AS atm_iv,
            count()                             AS contracts
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'AAPL'
          AND date = '2026-06-15'
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry BETWEEN 7 AND 90
          AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.025
        GROUP BY expiration_date, days_to_expiry
        HAVING contracts >= 2
    )
)
ARRAY JOIN
    ['near', 'far']                                     AS leg,
    [near_expiry, far_expiry]                           AS leg_expiry,
    [near_dte, far_dte]                                 AS leg_dte,
    [near_iv, far_iv]                                   AS leg_iv,
    [near_contracts, far_contracts]                     AS leg_contracts,
    [(far_dte - 30) / (far_dte - near_dte),
     (30 - near_dte) / (far_dte - near_dte)]            AS leg_weight
ORDER BY leg_dte

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