pente_par_sous_jacent

Name: pente_par_sous_jacent
Creator: Strasmore
Published: 2026-09-26
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 2026-09-26, from what-is-the-skew-stickiness-ratio.

as of 2026-09-26 table 6×5read in context →

pente_par_sous_jacent — 6 rows by 5 columns, computed 2026-09-26 from US exchange, SIP and OPRA data.
symbol	session_count	pente_vol_pts	pente_fr	correlation
SPY	250	-1.24	1,24	-0.81
QQQ	250	-0.88	0,88	-0.7
MSFT	250	-0.04	0,04	-0.04
AAPL	250	-0.18	0,18	-0.17
NVDA	250	-0.25	0,25	-0.29
TSLA	250	0	0	0

Rows × columns: 6 × 5
Computed: 2026-09-26
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 pente_par_sous_jacent, derived from the stored result.
Column	Type	Range	Notes
`symbol`	text	6 distinct values (AAPL, MSFT, NVDA…)
`session_count`	number	every row is 250	count
`pente_vol_pts`	number	-1.24 to 0
`pente_fr`	text	6 distinct values (0, 0,04, 0,18…)
`correlation`	number	-0.81 to 0

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 2026-09-26, 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.

WITH iv_atm AS (
    SELECT
        underlying_symbol                        AS sym,
        date,
        avg(toFloat64(implied_volatility)) * 100 AS iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol IN ('SPY', 'QQQ', 'MSFT', 'AAPL', 'NVDA', 'TSLA')
      AND date >= '2025-09-01'
      AND date <  '2026-09-01'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
    GROUP BY sym, date
),
spot AS (
    SELECT
        ticker           AS sym,
        date,
        toFloat64(close) AS px
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN ('SPY', 'QQQ', 'MSFT', 'AAPL', 'NVDA', 'TSLA')
      AND date >= '2025-09-01'
      AND date <  '2026-09-01'
),
apparie AS (
    SELECT
        i.sym    AS sym,
        i.date   AS d,
        i.iv_pct AS iv,
        s.px     AS px,
        any(i.iv_pct) OVER (PARTITION BY i.sym ORDER BY i.date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS iv_prec,
        any(s.px)     OVER (PARTITION BY i.sym ORDER BY i.date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS px_prec
    FROM iv_atm AS i
    INNER JOIN spot AS s ON s.sym = i.sym AND s.date = i.date
),
variations AS (
    SELECT
        sym,
        (px / px_prec - 1) * 100 AS rendement_pct,
        iv - iv_prec             AS iv_variation_pct
    FROM apparie
    WHERE px_prec > 0
)
SELECT
    sym                                                             AS symbol,
    count()                                                         AS session_count,
    round(covarPop(rendement_pct, iv_variation_pct)
          / varPop(rendement_pct), 2)                               AS pente_vol_pts,
    replace(toString(round(abs(covarPop(rendement_pct, iv_variation_pct)
          / varPop(rendement_pct)), 2)), '.', ',')                   AS pente_fr,
    round(corr(rendement_pct, iv_variation_pct), 2)                 AS correlation
FROM variations
GROUP BY sym
HAVING count() > 100
ORDER BY indexOf(['SPY', 'QQQ', 'MSFT', 'AAPL', 'NVDA', 'TSLA'], sym)

SQL to run

WITH iv_atm AS (
    SELECT
        underlying_symbol                        AS sym,
        date,
        avg(toFloat64(implied_volatility)) * 100 AS iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol IN ('SPY', 'QQQ', 'MSFT', 'AAPL', 'NVDA', 'TSLA')
      AND date >= '2025-09-01'
      AND date <  '2026-09-01'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
    GROUP BY sym, date
),
spot AS (
    SELECT
        ticker           AS sym,
        date,
        toFloat64(close) AS px
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN ('SPY', 'QQQ', 'MSFT', 'AAPL', 'NVDA', 'TSLA')
      AND date >= '2025-09-01'
      AND date <  '2026-09-01'
),
apparie AS (
    SELECT
        i.sym    AS sym,
        i.date   AS d,
        i.iv_pct AS iv,
        s.px     AS px,
        any(i.iv_pct) OVER (PARTITION BY i.sym ORDER BY i.date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS iv_prec,
        any(s.px)     OVER (PARTITION BY i.sym ORDER BY i.date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS px_prec
    FROM iv_atm AS i
    INNER JOIN spot AS s ON s.sym = i.sym AND s.date = i.date
),
variations AS (
    SELECT
        sym,
        (px / px_prec - 1) * 100 AS rendement_pct,
        iv - iv_prec             AS iv_variation_pct
    FROM apparie
    WHERE px_prec > 0
)
SELECT
    sym                                                             AS symbol,
    count()                                                         AS session_count,
    round(covarPop(rendement_pct, iv_variation_pct)
          / varPop(rendement_pct), 2)                               AS pente_vol_pts,
    replace(toString(round(abs(covarPop(rendement_pct, iv_variation_pct)
          / varPop(rendement_pct)), 2)), '.', ',')                   AS pente_fr,
    round(corr(rendement_pct, iv_variation_pct), 2)                 AS correlation
FROM variations
GROUP BY sym
HAVING count() > 100
ORDER BY indexOf(['SPY', 'QQQ', 'MSFT', 'AAPL', 'NVDA', 'TSLA'], sym)

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