Near-dated versus long-dated SPY implied volatility, session by session

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 Why VIX Options Don't Track the VIX.

Rows × columns

81 × 3

Period covered

2026-04-24 to 2026-08-19

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
    toString(date)                                                                AS session_date,
    round(avgIf(implied_volatility, days_to_expiry BETWEEN 7 AND 30) * 100, 2)    AS front_iv_pct,
    round(avgIf(implied_volatility, days_to_expiry BETWEEN 150 AND 300) * 100, 2) AS back_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
  AND iv_converged = 1
  AND volume > 0
  AND (days_to_expiry BETWEEN 7 AND 30 OR days_to_expiry BETWEEN 150 AND 300)
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
  AND date >= today() - 120
GROUP BY date
HAVING countIf(days_to_expiry BETWEEN 7 AND 30) > 0
   AND countIf(days_to_expiry BETWEEN 150 AND 300) > 0
ORDER BY date