{"slug":"what-is-the-cme-cvol-index","qid":"spy_term_structure","label":"spy_term_structure","post_title":"what-is-the-cme-cvol-index","post_url":"/blog/what-is-the-cme-cvol-index#q-spy_term_structure","columns":["tenor","atm_iv_pct"],"rows":[{"tenor":"1-7 days","atm_iv_pct":17.2},{"tenor":"8-14 days","atm_iv_pct":14.8},{"tenor":"15-21 days","atm_iv_pct":15.8},{"tenor":"22-30 days","atm_iv_pct":15.2},{"tenor":"31-45 days","atm_iv_pct":15.4},{"tenor":"46-60 days","atm_iv_pct":15.7},{"tenor":"61-90 days","atm_iv_pct":16}],"shape":"ranking","sql":"SELECT\n    tenor_label                              AS tenor,\n    round(100 * avg(implied_volatility), 1)  AS atm_iv_pct\nFROM\n(\n    SELECT\n        implied_volatility,\n        multiIf(days_to_expiry <= 7,  '1-7 days',\n                days_to_expiry <= 14, '8-14 days',\n                days_to_expiry <= 21, '15-21 days',\n                days_to_expiry <= 30, '22-30 days',\n                days_to_expiry <= 45, '31-45 days',\n                days_to_expiry <= 60, '46-60 days',\n                                      '61-90 days') AS tenor_label,\n        multiIf(days_to_expiry <= 7,  1,\n                days_to_expiry <= 14, 2,\n                days_to_expiry <= 21, 3,\n                days_to_expiry <= 30, 4,\n                days_to_expiry <= 45, 5,\n                days_to_expiry <= 60, 6,\n                                      7) AS tenor_order\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'SPY'\n      AND date >= '2026-06-01'\n      AND date <  '2026-07-01'\n      AND iv_converged = 1\n      AND volume > 0\n      AND days_to_expiry BETWEEN 1 AND 90\n      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02\n)\nGROUP BY tenor_label, tenor_order\nORDER BY tenor_order","computed_at":"2026-09-18T15:15:34.305031+00:00","elapsed":0.003532664}