spy_smile
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.
| moneyness | iv_pct |
|---|---|
| Put 10 delta | 18.81 |
| Put 25 delta | 14.34 |
| ATM 50 delta | 11.47 |
| Call 25 delta | 9.77 |
| Call 10 delta | 9.29 |
- Rows × columns
- 5 × 2
- 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 |
|---|---|---|---|
moneyness |
text | 5 distinct values | |
iv_pct |
number | 9.29 to 18.81 | percent |
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
multiIf(zone = 1, 'Put 10 delta',
zone = 2, 'Put 25 delta',
zone = 3, 'ATM 50 delta',
zone = 4, 'Call 25 delta',
'Call 10 delta') AS moneyness,
round(avg(implied_volatility) * 100, 2) AS iv_pct
FROM
(
SELECT
implied_volatility,
multiIf(delta BETWEEN -0.15 AND -0.05, 1,
delta BETWEEN -0.30 AND -0.20, 2,
abs(delta) BETWEEN 0.45 AND 0.55, 3,
delta BETWEEN 0.20 AND 0.30, 4,
delta BETWEEN 0.05 AND 0.15, 5,
0) AS zone
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date = toDate('2025-02-14')
AND days_to_expiry BETWEEN 20 AND 45
AND iv_converged = 1
AND volume > 0
)
WHERE zone > 0
GROUP BY zone
ORDER BY zone
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