smile_spy
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.
| moneyness | put_iv_pct | call_iv_pct |
|---|---|---|
| -10 % | 24.77 | 26.32 |
| -8 % | 23.16 | 23.36 |
| -6 % | 21.11 | 20.59 |
| -4 % | 19.36 | 18.59 |
| -2 % | 17.55 | 16.75 |
| 0 % | 16.03 | 15.13 |
| +2 % | 15.41 | 13.64 |
| +4 % | 15.24 | 12.52 |
| +6 % | 18.75 | 12.14 |
| +8 % | 22.01 | 12.6 |
| +10 % | 26.32 | 13.39 |
- Rows × columns
- 11 × 3
- 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 %…) | |
put_iv_pct |
number | 15.24 to 26.32 | percent |
call_iv_pct |
number | 12.14 to 26.32 | 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.
WITH contrats AS (
SELECT
toInt32(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 50)) * 2 AS bucket,
option_type,
toFloat64(implied_volatility) * 100 AS iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date BETWEEN '2026-04-01' AND '2026-06-30'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.10
)
SELECT
concat(if(bucket > 0, '+', ''), toString(bucket), ' %') AS moneyness,
round(avgIf(iv_pct, lower(option_type) LIKE 'p%'), 2) AS put_iv_pct,
round(avgIf(iv_pct, lower(option_type) LIKE 'c%'), 2) AS call_iv_pct
FROM contrats
GROUP BY bucket
HAVING countIf(lower(option_type) LIKE 'p%') > 0
AND countIf(lower(option_type) LIKE 'c%') > 0
ORDER BY bucket
Travaillez ces données dans votre assistant IA
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