term_structure
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 2026-10-01, from zm-implied-volatility.
| dte_bucket | atm_iv_pct | contract_count | as_of |
|---|---|---|---|
| 0 to 10 days | 44.5 | 152 | Sep 29, 2026 |
| 11 to 30 days | 39.5 | 167 | Sep 29, 2026 |
| 31 to 60 days | 39.5 | 87 | Sep 29, 2026 |
| 61 to 120 days | 43 | 55 | Sep 29, 2026 |
| over 120 days | 43.6 | 51 | Sep 29, 2026 |
- 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 |
|---|---|---|---|
dte_bucket |
text | 5 distinct values | |
atm_iv_pct |
number | 39.5 to 44.5 | percent |
contract_count |
number | 51 to 167 | count |
as_of |
text | 1 distinct value (Sep 29, 2026) |
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(days_to_expiry <= 10, '0 to 10 days',
days_to_expiry <= 30, '11 to 30 days',
days_to_expiry <= 60, '31 to 60 days',
days_to_expiry <= 120, '61 to 120 days',
'over 120 days') AS dte_bucket,
round(100 * avg(toFloat64(implied_volatility)), 1) AS atm_iv_pct,
count() AS contract_count,
formatDateTime(max(date), '%b %e, %Y') AS as_of
FROM global_markets.options_greeks
WHERE underlying_symbol = 'ZM'
AND iv_converged = 1
AND volume > 0
AND toFloat64(underlying_close) > 0
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
AND date >= (
SELECT max(date)
FROM global_markets.options_greeks
WHERE underlying_symbol = 'ZM' AND iv_converged = 1
) - 7
GROUP BY dte_bucket
ORDER BY min(days_to_expiry)
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