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 2026-10-04, from Why VIX Options Don't Track the VIX.
| front_move_band | front_change_pts | back_change_pts | session_count |
|---|---|---|---|
| front fell | -1.28 | -0.32 | 255 |
| front up 0 to 1 | 0.45 | 0.1 | 140 |
| front up 1 to 2 | 1.4 | 0.4 | 58 |
| front up 2 to 4 | 2.58 | 0.73 | 32 |
| front up 4 or more | 7.53 | 1.62 | 13 |
- Rows × columns
- 5 × 4
- 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 |
|---|---|---|---|
front_move_band |
text | 5 distinct values | |
front_change_pts |
number | -1.28 to 7.53 | |
back_change_pts |
number | -0.32 to 1.62 | |
session_count |
number | 13 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.
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(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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