SPY call vega peaks at the money (~30 days out, 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.
| moneyness | avg_vega |
|---|---|
| deep ITM | 0.458 |
| ITM | 0.776 |
| ATM | 0.862 |
| OTM | 0.706 |
| deep OTM | 0.204 |
- 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 |
|---|---|---|---|
moneyness |
text | 5 distinct values (ATM, ITM, OTM…) | |
avg_vega |
number | 0.204 to 0.862 |
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((strike_price/underlying_close-1)<-0.04,'deep ITM',
(strike_price/underlying_close-1)<-0.015,'ITM',
(strike_price/underlying_close-1)<0.015,'ATM',
(strike_price/underlying_close-1)<0.04,'OTM','deep OTM') AS moneyness,
round(avg(vega), 3) AS avg_vega
FROM global_markets.options_greeks
WHERE date = '2026-07-13' AND underlying_symbol = 'SPY' AND option_type = 'C' AND days_to_expiry BETWEEN 25 AND 40
GROUP BY moneyness ORDER BY avg(strike_price/underlying_close)
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