spy_rr_series
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 2026-09-11, from what-skew-means-in-markets.
| date | jour | put_25d_iv_pct | call_25d_iv_pct | risk_reversal_pts |
|---|---|---|---|---|
| 2025-04-02 | 02/04/2025 | 13.69 | 26.92 | -13.23 |
| 2025-05-16 | 16/05/2025 | 16.02 | 14.85 | 1.17 |
| 2025-02-04 | 04/02/2025 | 15.93 | 12.57 | 3.36 |
| 2025-02-10 | 10/02/2025 | 14.89 | 11.14 | 3.75 |
| 2025-03-27 | 27/03/2025 | 18.52 | 14.74 | 3.78 |
| 2025-03-26 | 26/03/2025 | 18.36 | 14.52 | 3.84 |
| 2025-03-24 | 24/03/2025 | 17.71 | 13.5 | 4.2 |
| 2025-05-14 | 14/05/2025 | 18.34 | 14.08 | 4.26 |
| 2025-03-28 | 28/03/2025 | 21.25 | 16.96 | 4.3 |
| 2025-02-13 | 13/02/2025 | 14.66 | 10.1 | 4.56 |
| 2025-02-14 | 14/02/2025 | 14.34 | 9.77 | 4.57 |
| 2025-02-07 | 07/02/2025 | 15.76 | 11.15 | 4.61 |
| 2025-02-06 | 06/02/2025 | 15.26 | 10.64 | 4.62 |
| 2025-05-12 | 12/05/2025 | 18.35 | 13.69 | 4.66 |
| 2025-02-11 | 11/02/2025 | 15.29 | 10.44 | 4.85 |
| 2025-02-19 | 19/02/2025 | 14.57 | 9.69 | 4.88 |
| 2025-02-05 | 05/02/2025 | 15.74 | 10.84 | 4.9 |
| 2025-03-31 | 31/03/2025 | 21.61 | 16.69 | 4.92 |
| 2025-03-25 | 25/03/2025 | 17.74 | 12.49 | 5.25 |
| 2025-05-15 | 15/05/2025 | 18.42 | 13.14 | 5.29 |
| 2025-05-29 | 29/05/2025 | 19.27 | 13.85 | 5.42 |
| 2025-04-15 | 15/04/2025 | 28.05 | 22.62 | 5.43 |
| 2025-05-13 | 13/05/2025 | 18.26 | 12.78 | 5.48 |
| 2025-02-18 | 18/02/2025 | 15.2 | 9.63 | 5.57 |
| 2025-02-20 | 20/02/2025 | 14.99 | 9.41 | 5.58 |
| 2025-02-12 | 12/02/2025 | 15.89 | 10.2 | 5.69 |
| 2025-05-08 | 08/05/2025 | 22.51 | 16.69 | 5.82 |
| 2025-04-29 | 29/04/2025 | 24.57 | 18.47 | 6.1 |
| 2025-03-17 | 17/03/2025 | 21.2 | 15.09 | 6.11 |
| 2025-03-21 | 21/03/2025 | 20.39 | 14.16 | 6.23 |
| 2025-02-24 | 24/02/2025 | 18.48 | 12.16 | 6.32 |
| 2025-05-30 | 30/05/2025 | 19.56 | 13.2 | 6.37 |
| 2025-03-20 | 20/03/2025 | 20.75 | 14.2 | 6.56 |
| 2025-04-03 | 03/04/2025 | 28.52 | 21.92 | 6.6 |
| 2025-05-20 | 20/05/2025 | 19.07 | 12.46 | 6.61 |
| 2025-05-05 | 05/05/2025 | 23.64 | 17.02 | 6.61 |
| 2025-02-21 | 21/02/2025 | 17.82 | 11.06 | 6.76 |
| 2025-05-22 | 22/05/2025 | 20.96 | 14.17 | 6.79 |
| 2025-03-10 | 10/03/2025 | 27.26 | 20.43 | 6.83 |
| 2025-05-01 | 01/05/2025 | 24.76 | 17.87 | 6.89 |
| 2025-03-14 | 14/03/2025 | 22.88 | 15.86 | 7.02 |
| 2025-05-19 | 19/05/2025 | 19.42 | 12.34 | 7.07 |
| 2025-03-05 | 05/03/2025 | 22.07 | 14.91 | 7.16 |
| 2025-03-18 | 18/03/2025 | 22.75 | 15.56 | 7.19 |
| 2025-02-26 | 26/02/2025 | 19.53 | 12.31 | 7.21 |
| 2025-05-27 | 27/05/2025 | 20 | 12.73 | 7.26 |
| 2025-05-09 | 09/05/2025 | 23.06 | 15.79 | 7.27 |
| 2025-05-02 | 02/05/2025 | 23.37 | 16.04 | 7.33 |
| 2025-02-03 | 03/02/2025 | 18.84 | 11.49 | 7.35 |
| 2025-03-07 | 07/03/2025 | 23.53 | 16.14 | 7.39 |
| 2025-02-27 | 27/02/2025 | 21.46 | 14.08 | 7.39 |
| 2025-05-21 | 21/05/2025 | 21.62 | 14.22 | 7.4 |
| 2025-04-01 | 01/04/2025 | 22.54 | 15.05 | 7.49 |
| 2025-03-19 | 19/03/2025 | 21.25 | 13.7 | 7.55 |
| 2025-05-07 | 07/05/2025 | 24.57 | 16.93 | 7.64 |
| 2025-04-28 | 28/04/2025 | 26 | 18.12 | 7.88 |
| 2025-02-25 | 25/02/2025 | 19.76 | 11.8 | 7.96 |
| 2025-03-11 | 11/03/2025 | 27.03 | 19 | 8.03 |
| 2025-04-14 | 14/04/2025 | 30.67 | 22.52 | 8.16 |
| 2025-04-25 | 25/04/2025 | 26.02 | 17.86 | 8.16 |
| 2025-02-28 | 28/02/2025 | 20.36 | 12.17 | 8.19 |
| 2025-04-23 | 23/04/2025 | 29.39 | 21.19 | 8.2 |
| 2025-05-23 | 23/05/2025 | 23.21 | 14.95 | 8.27 |
| 2025-03-03 | 03/03/2025 | 23.01 | 14.36 | 8.66 |
| 2025-04-17 | 17/04/2025 | 30.56 | 21.88 | 8.69 |
| 2025-04-24 | 24/04/2025 | 27.74 | 19 | 8.75 |
| 2025-03-12 | 12/03/2025 | 25.31 | 16.45 | 8.85 |
| 2025-03-06 | 06/03/2025 | 25.69 | 16.76 | 8.92 |
| 2025-03-13 | 13/03/2025 | 26.39 | 17.38 | 9.01 |
| 2025-03-04 | 04/03/2025 | 24.57 | 13.94 | 10.63 |
| 2025-04-16 | 16/04/2025 | 33.28 | 22.64 | 10.64 |
| 2025-04-08 | 08/04/2025 | 49.14 | 38.24 | 10.9 |
| 2025-04-21 | 21/04/2025 | 35.29 | 24.33 | 10.96 |
| 2025-05-06 | 06/05/2025 | 26.62 | 15.35 | 11.26 |
| 2025-04-30 | 30/04/2025 | 27.71 | 15.92 | 11.78 |
| 2025-04-10 | 10/04/2025 | 41.99 | 29.65 | 12.34 |
| 2025-04-04 | 04/04/2025 | 43.55 | 30.98 | 12.57 |
| 2025-04-11 | 11/04/2025 | 38.72 | 25.06 | 13.66 |
| 2025-04-09 | 09/04/2025 | 33.86 | 20.17 | 13.69 |
| 2025-05-28 | 28/05/2025 | 23.12 | 9.08 | 14.04 |
| 2025-04-07 | 07/04/2025 | 47.57 | 29.79 | 17.78 |
| 2025-04-22 | 22/04/2025 | 35.61 | 17.81 | 17.79 |
- Rows × columns
- 82 × 5
- Period covered
- to
- 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 |
|---|---|---|---|
date |
date | 2025-02-03 to 2025-05-30 | |
jour |
text | 82 distinct values (01/04/2025, 01/05/2025, 02/04/2025…) | |
put_25d_iv_pct |
number | 13.69 to 49.14 | percent |
call_25d_iv_pct |
number | 9.08 to 38.24 | percent |
risk_reversal_pts |
number | -13.23 to 17.79 |
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.
SELECT
date,
formatDateTime(date, '%d/%m/%Y') AS jour,
round(avgIf(implied_volatility, delta BETWEEN -0.30 AND -0.20) * 100, 2) AS put_25d_iv_pct,
round(avgIf(implied_volatility, delta BETWEEN 0.20 AND 0.30) * 100, 2) AS call_25d_iv_pct,
round((avgIf(implied_volatility, delta BETWEEN -0.30 AND -0.20)
- avgIf(implied_volatility, delta BETWEEN 0.20 AND 0.30)) * 100, 2) AS risk_reversal_pts
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date BETWEEN toDate('2025-02-03') AND toDate('2025-05-30')
AND days_to_expiry BETWEEN 20 AND 45
AND iv_converged = 1
AND volume > 0
GROUP BY date
HAVING countIf(delta BETWEEN -0.30 AND -0.20) > 0
AND countIf(delta BETWEEN 0.20 AND 0.30) > 0
ORDER BY risk_reversal_pts ASC
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