quiet_days

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 atm AS
(
    SELECT
        date,
        max(toFloat64(underlying_close))                   AS spot,
        round(avg(toFloat64(implied_volatility)) * 100, 3) AS atm_iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      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 date
),
steps AS
(
    SELECT
        date,
        100 * (spot / lagInFrame(spot) OVER (ORDER BY date) - 1)     AS spot_move_pct,
        atm_iv_pct - lagInFrame(atm_iv_pct) OVER (ORDER BY date)     AS iv_move_pt,
        dateDiff('day', lagInFrame(date) OVER (ORDER BY date), date) AS gap_days
    FROM atm
)
SELECT
    formatDateTime(toStartOfMonth(date), '%Y-%m')                            AS month,
    concat(toString(toYear(date)), '年', toString(toMonth(date)), '月')       AS month_label,
    countIf(abs(spot_move_pct) < 0.25)                                       AS quiet_spot_sessions,
    countIf(abs(spot_move_pct) < 0.25 AND abs(iv_move_pt) >= 1)              AS quiet_spot_iv_shift_sessions,
    round(100 * countIf(abs(spot_move_pct) < 0.25 AND abs(iv_move_pt) >= 1)
              / countIf(abs(spot_move_pct) < 0.25), 1)                       AS iv_shift_share_pct
FROM steps
WHERE gap_days BETWEEN 1 AND 5
GROUP BY month, month_label
HAVING countIf(abs(spot_move_pct) < 0.25) > 0
ORDER BY month