{"slug":"what-is-vanna-and-charm-exposure","qid":"quiet_days","label":"quiet_days","post_title":"what-is-vanna-and-charm-exposure","post_url":"/blog/lang/ja/what-is-vanna-and-charm-exposure#q-quiet_days","columns":["month","month_label","quiet_spot_sessions","quiet_spot_iv_shift_sessions","iv_shift_share_pct"],"rows":[{"month":"2025-09","month_label":"2025年9月","quiet_spot_sessions":6,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0},{"month":"2025-10","month_label":"2025年10月","quiet_spot_sessions":7,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0},{"month":"2025-11","month_label":"2025年11月","quiet_spot_sessions":5,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0},{"month":"2025-12","month_label":"2025年12月","quiet_spot_sessions":5,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0},{"month":"2026-01","month_label":"2026年1月","quiet_spot_sessions":9,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0},{"month":"2026-02","month_label":"2026年2月","quiet_spot_sessions":5,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0},{"month":"2026-03","month_label":"2026年3月","quiet_spot_sessions":4,"quiet_spot_iv_shift_sessions":1,"iv_shift_share_pct":25},{"month":"2026-04","month_label":"2026年4月","quiet_spot_sessions":7,"quiet_spot_iv_shift_sessions":1,"iv_shift_share_pct":14.3},{"month":"2026-05","month_label":"2026年5月","quiet_spot_sessions":7,"quiet_spot_iv_shift_sessions":1,"iv_shift_share_pct":14.3},{"month":"2026-06","month_label":"2026年6月","quiet_spot_sessions":3,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0},{"month":"2026-07","month_label":"2026年7月","quiet_spot_sessions":9,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0},{"month":"2026-08","month_label":"2026年8月","quiet_spot_sessions":8,"quiet_spot_iv_shift_sessions":0,"iv_shift_share_pct":0}],"shape":"series","sql":"WITH atm AS\n(\n    SELECT\n        date,\n        max(toFloat64(underlying_close))                   AS spot,\n        round(avg(toFloat64(implied_volatility)) * 100, 3) AS atm_iv_pct\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'SPY'\n      AND date >= '2025-09-01'\n      AND date <  '2026-09-01'\n      AND iv_converged = 1\n      AND volume > 0\n      AND days_to_expiry BETWEEN 20 AND 45\n      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02\n    GROUP BY date\n),\nsteps AS\n(\n    SELECT\n        date,\n        100 * (spot / lagInFrame(spot) OVER (ORDER BY date) - 1)     AS spot_move_pct,\n        atm_iv_pct - lagInFrame(atm_iv_pct) OVER (ORDER BY date)     AS iv_move_pt,\n        dateDiff('day', lagInFrame(date) OVER (ORDER BY date), date) AS gap_days\n    FROM atm\n)\nSELECT\n    formatDateTime(toStartOfMonth(date), '%Y-%m')                            AS month,\n    concat(toString(toYear(date)), '年', toString(toMonth(date)), '月')       AS month_label,\n    countIf(abs(spot_move_pct) < 0.25)                                       AS quiet_spot_sessions,\n    countIf(abs(spot_move_pct) < 0.25 AND abs(iv_move_pt) >= 1)              AS quiet_spot_iv_shift_sessions,\n    round(100 * countIf(abs(spot_move_pct) < 0.25 AND abs(iv_move_pt) >= 1)\n              / countIf(abs(spot_move_pct) < 0.25), 1)                       AS iv_shift_share_pct\nFROM steps\nWHERE gap_days BETWEEN 1 AND 5\nGROUP BY month, month_label\nHAVING countIf(abs(spot_move_pct) < 0.25) > 0\nORDER BY month","computed_at":"2026-09-27T15:20:15.878976+00:00","elapsed":0.012547056}