iv_compare
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 2026-09-25, from when-to-adjust-a-short-straddle.
| symbol | atm_iv_pct | straddle_delta_per_move |
|---|---|---|
| NVDA | 37.9 | 0.197 |
| AAPL | 27 | 0.274 |
| KO | 20.5 | 0.348 |
| QQQ | 19.7 | 0.359 |
| IWM | 16.8 | 0.406 |
| SPY | 11.8 | 0.551 |
- Rows × columns
- 6 × 3
- 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 |
|---|---|---|---|
symbol |
text | 6 distinct values (AAPL, IWM, KO…) | |
atm_iv_pct |
number | 11.8 to 37.9 | percent |
straddle_delta_per_move |
number | 0.197 to 0.551 |
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
underlying_symbol AS symbol,
round(avg(implied_volatility) * 100, 1) AS atm_iv_pct,
round(avg(gamma) * avg(toFloat64(underlying_close)) * 0.02, 3) AS straddle_delta_per_move
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('SPY', 'QQQ', 'IWM', 'AAPL', 'NVDA', 'KO')
AND date >= today() - 90
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 2 AND 9
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.01
GROUP BY underlying_symbol
ORDER BY atm_iv_pct DESC
Work with this data in your AI assistant
Opens ready to query, with this page's data. Free, no account.