Implied volatility across strikes on the same SPY expiry

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
    (
        SELECT max(date)
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
    ) AS snap_date,
    (
        SELECT argMin(expiration_date, abs(toInt32(days_to_expiry) - 35))
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND date = snap_date
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry BETWEEN 20 AND 60
    ) AS expiry
SELECT
    strike_band                                        AS moneyness,
    round(100 * avg_iv, 2)                             AS implied_vol_pct,
    round(100 * avg_iv - 100 * avg(avg_iv) OVER (), 2) AS vs_chain_avg_pts,
    contracts
FROM
(
    SELECT
        multiIf(k < -0.10, '10%+ below spot',
                k < -0.05, '5-10% below',
                k < -0.02, '2-5% below',
                k <= 0.02, 'within 2% of spot',
                k <= 0.05, '2-5% above',
                k <= 0.10, '5-10% above',
                           '10%+ above spot')     AS strike_band,
        multiIf(k < -0.10, 1, k < -0.05, 2, k < -0.02, 3,
                k <= 0.02, 4, k <= 0.05, 5, k <= 0.10, 6, 7) AS band_sort,
        avg(sigma)                                 AS avg_iv,
        count()                                    AS contracts
    FROM
    (
        SELECT
            toFloat64(strike_price) / toFloat64(underlying_close) - 1 AS k,
            toFloat64(implied_volatility)                             AS sigma
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND date = snap_date
          AND expiration_date = expiry
          AND iv_converged = 1
          AND volume > 0
          AND vega > 0
          AND days_to_expiry >= 7
          AND implied_volatility BETWEEN 0.02 AND 3.0
    )
    GROUP BY strike_band, band_sort
)
ORDER BY band_sort