At-the-money SPY vega grows with time to expiry (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 Option Vega? Volatility Sensitivity.
| time_to_expiry | avg_vega |
|---|---|
| 0-7 days | 0.295 |
| 8-30 days | 0.594 |
| 31-90 days | 1.137 |
| 90+ days | 2.741 |
- Rows × columns
- 4 × 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 |
|---|---|---|---|
time_to_expiry |
text | 4 distinct values (0-7 days, 31-90 days, 8-30 days…) | |
avg_vega |
number | 0.295 to 2.741 |
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(days_to_expiry<=7,'0-7 days',days_to_expiry<=30,'8-30 days',
days_to_expiry<=90,'31-90 days','90+ days') AS time_to_expiry,
round(avg(vega), 3) AS avg_vega
FROM global_markets.options_greeks
WHERE date = '2026-07-13' AND underlying_symbol = 'SPY' AND abs(delta) BETWEEN 0.45 AND 0.55
GROUP BY time_to_expiry ORDER BY min(days_to_expiry)
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