spy_iv

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.

SELECT
    month,
    month_label,
    spy_iv_pct,
    round(max(spy_iv_pct) OVER (), 1) AS window_high_pct
FROM
(
    SELECT
        toStartOfMonth(date)                        AS month_start,
        toString(toStartOfMonth(date))              AS month,
        formatDateTime(toStartOfMonth(date), '%b %Y') AS month_label,
        round(100 * quantileDeterministic(0.5)(toFloat64(implied_volatility), cityHash64(ticker)), 1) AS spy_iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND toFloat64(underlying_close) > 0
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
      AND date >= toDate('2021-09-01')
    GROUP BY month_start, month, month_label
)
ORDER BY month_start