spy_strike_weights

Name: spy_strike_weights
Creator: Strasmore
Published: 2026-09-18
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 2026-09-18, from what-is-the-cme-cvol-index.

as of 2026-09-18 ranking 11×4read in context →

spy_strike_weights — 11 rows by 4 columns, computed 2026-09-18 from US exchange, SIP and OPRA data.
moneyness	iv_pct	vix_style_weight_pct	cvol_style_weight_pct
-10%	24.9	123.5	100
-8%	22.8	118.1	100
-6%	20.5	113.2	100
-4%	18.8	108.5	100
-2%	16.9	104.1	100
0%	15	100	100
+2%	13.2	96.1	100
+4%	12.1	92.5	100
+6%	11.7	89	100
+8%	12.2	85.7	100
+10%	13.4	82.6	100

Rows × columns: 11 × 4
Computed: 2026-09-18
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 spy_strike_weights, derived from the stored result.
Column	Type	Range	Notes
`moneyness`	text	11 distinct values (+10%, +2%, +4%…)
`iv_pct`	number	11.7 to 24.9	percent
`vix_style_weight_pct`	number	82.6 to 123.5	percent
`cvol_style_weight_pct`	number	every row is 100	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 2026-09-18, and the query below is what returned them.

the exact SQL behind every number

SELECT
    concat(if(bucket_pct > 0, '+', ''), toString(bucket_pct), '%') AS moneyness,
    round(100 * avg(implied_volatility), 1)                        AS iv_pct,
    round(100 / pow(1 + bucket_pct / 100, 2), 1)                    AS vix_style_weight_pct,
    100                                                             AS cvol_style_weight_pct
FROM
(
    SELECT
        implied_volatility,
        toInt32(2 * round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 50)) AS bucket_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= '2026-06-01'
      AND date <  '2026-07-01'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 23 AND 37
      AND ((lower(toString(option_type)) IN ('put', 'p')
                AND toFloat64(strike_price) < toFloat64(underlying_close))
        OR (lower(toString(option_type)) IN ('call', 'c')
                AND toFloat64(strike_price) > toFloat64(underlying_close)))
)
WHERE bucket_pct BETWEEN -10 AND 10
GROUP BY bucket_pct
ORDER BY bucket_pct

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