iv_screener

Name: iv_screener
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 ranking 6×4read in context →

iv_screener — 6 rows by 4 columns, computed 2026-09-12 from US exchange, SIP and OPRA data.
symbol	iv30_pct	near_iv_pct	far_iv_pct
NVDA	36.84	36.35	36.99
MSFT	30.48	30.21	30.57
AMZN	29.76	29.63	29.8
AAPL	21.83	21.77	21.85
KO	18.72	19.01	18.62
SPY	13.59	13.49	13.63

Rows × columns: 6 × 4
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 iv_screener, derived from the stored result.
Column	Type	Range	Notes
`symbol`	text	6 distinct values (AAPL, AMZN, KO…)
`iv30_pct`	number	13.59 to 36.84	percent
`near_iv_pct`	number	13.49 to 36.35	percent
`far_iv_pct`	number	13.63 to 36.99	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
    underlying_symbol                                           AS symbol,
    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,
    round(near_iv * 100, 2)                                     AS near_iv_pct,
    round(far_iv * 100, 2)                                      AS far_iv_pct
FROM
(
    SELECT
        underlying_symbol,
        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
    FROM
    (
        SELECT
            underlying_symbol,
            days_to_expiry,
            avg(toFloat64(implied_volatility))  AS atm_iv,
            count()                             AS contracts
        FROM global_markets.options_greeks
        WHERE underlying_symbol IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'AMZN', 'KO')
          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 underlying_symbol, days_to_expiry
        HAVING contracts >= 2
    )
    GROUP BY underlying_symbol
    HAVING countIf(days_to_expiry <= 30) > 0
       AND countIf(days_to_expiry > 30) > 0
)
ORDER BY iv30_pct DESC

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