SPY 30-day OTM strip, June 2026: implied volatility and relative strike weight under each method
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? CVOL vs VIX.
| 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
- 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 | 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 , 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
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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