Put versus call implied volatility, near the money, 20 to 45 days out

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 2026-08-22, from When Short Options Get Assigned Early.

Rows × columns

5 × 4

Computed

2026-08-22

Completeness

No missing values

Source

US exchange, SIP and OPRA market data

Licence

Strasmore terms · free, no signup

Formats

JSON · CSV · the SQL below

What each column holds

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 2026-08-22, and the query below is what returned them.

SELECT
    underlying_symbol AS ticker,
    round(100 * avgIf(iv_f, delta_f < 0), 1) AS put_iv,
    round(100 * avgIf(iv_f, delta_f > 0), 1) AS call_iv,
    round(100 * (avgIf(iv_f, delta_f < 0) - avgIf(iv_f, delta_f > 0)), 1) AS put_minus_call
FROM
(
    SELECT
        underlying_symbol,
        toFloat64(implied_volatility) AS iv_f,
        toFloat64(delta)              AS delta_f
    FROM global_markets.options_greeks
    WHERE underlying_symbol IN ('MSTR', 'COIN', 'AAPL', 'MSFT', 'KO')
      AND date >= today() - 120
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
)
GROUP BY underlying_symbol
HAVING countIf(delta_f < 0) > 0 AND countIf(delta_f > 0) > 0
ORDER BY put_minus_call DESC