iv_recent

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.

WITH atm_daily AS
(
    SELECT
        date,
        round(100 * avg(toFloat64(implied_volatility)), 1) AS iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'ZM'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND toFloat64(underlying_close) > 0
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
    GROUP BY date
)
SELECT
    toString(date)                    AS session_date,
    formatDateTime(date, '%b %e, %Y') AS session_label,
    iv_pct                            AS atm_iv_pct,
    iv_percentile
FROM
(
    SELECT
        date,
        iv_pct,
        toUInt8(round(100 * count() OVER (ORDER BY iv_pct) / count() OVER ())) AS iv_percentile
    FROM atm_daily
)
WHERE date >= today() - 120
ORDER BY date