SPY put IV rises as strikes fall: the volatility skew (2026-07-13)
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 2026-08-13, from What Is Implied Volatility? IV, Explained.
| put_moneyness | avg_iv_pct |
|---|---|
| deep ITM put | 10.8 |
| ITM put (0.55-0.75) | 12 |
| ATM (~0.50) | 14.2 |
| OTM put (0.15-0.35) | 17.2 |
| far OTM put (|d|<0.15) | 31.8 |
- Rows × columns
- 5 × 2
- 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 |
|---|---|---|---|
put_moneyness |
text | 5 distinct values | |
avg_iv_pct |
number | 10.8 to 31.8 | 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.
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 multiIf(delta>-0.15,'far OTM put (|d|<0.15)',delta>-0.35,'OTM put (0.15-0.35)',
delta>-0.55,'ATM (~0.50)',delta>-0.75,'ITM put (0.55-0.75)','deep ITM put') AS put_moneyness,
round(avg(implied_volatility) * 100, 1) AS avg_iv_pct
FROM global_markets.options_greeks
WHERE date = '2026-07-13' AND underlying_symbol = 'SPY' AND option_type = 'P' AND days_to_expiry BETWEEN 20 AND 45
GROUP BY put_moneyness ORDER BY avg(delta)
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