STRASMORE/EXPLORE 2,170 QUERIES

How far the long tenor travels on days the front end jumps

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.

as of ranking 5×4read in context →
How far the long tenor travels on days the front end jumps — 5 rows by 4 columns, computed from US exchange, SIP and OPRA data.
front_move_bandfront_change_ptsback_change_ptssession_count
front fell-1.3-0.33255
front up 0 to 10.450.1142
front up 1 to 21.40.4152
front up 2 to 42.580.7535
front up 4 or more7.311.6914
Rows × columns
5 × 4
Computed
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

Column definitions for How far the long tenor travels on days the front end jumps, derived from the stored result.
ColumnTypeRangeNotes
front_move_band text 5 distinct values
front_change_pts number -1.3 to 7.31
back_change_pts number -0.33 to 1.69
session_count number 14 to 255 count

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.

the exact SQL behind every number
SELECT
    multiIf(front_change <  0, 'front fell',
            front_change <  1, 'front up 0 to 1',
            front_change <  2, 'front up 1 to 2',
            front_change <  4, 'front up 2 to 4',
                               'front up 4 or more') AS front_move_band,
    round(avg(front_change), 2)                      AS front_change_pts,
    round(avg(back_change), 2)                       AS back_change_pts,
    count()                                          AS session_count
FROM
(
    SELECT
        (front_iv - prev_front) * 100 AS front_change,
        (back_iv  - prev_back)  * 100 AS back_change
    FROM
    (
        SELECT
            date,
            front_iv,
            back_iv,
            lagInFrame(front_iv) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_front,
            lagInFrame(back_iv)  OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_back
        FROM
        (
            SELECT
                date,
                avgIf(implied_volatility, days_to_expiry BETWEEN 7 AND 30)    AS front_iv,
                avgIf(implied_volatility, days_to_expiry BETWEEN 150 AND 300) AS back_iv
            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() - 730
            GROUP BY date
            HAVING countIf(days_to_expiry BETWEEN 7 AND 30) > 0
               AND countIf(days_to_expiry BETWEEN 150 AND 300) > 0
        )
    )
    WHERE prev_front > 0 AND prev_back > 0
)
GROUP BY front_move_band
ORDER BY avg(front_change)

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