2,214 answered market questions

SELECT
    leg,
    leg_expiry                                              AS expiry,
    leg_dte                                                 AS dte,
    round(leg_iv * 100, 2)                                  AS atm_iv_pct,
    leg_contracts                                           AS contract_count,
    round(leg_weight * 100, 1)                              AS weight_pct,
    round(sqrt((near_iv * near_iv * near_dte * (far_dte - 30)
              + far_iv * far_iv * far_dte * (30 - near_dte))
              / (far_dte - near_dte) / 30) * 100, 2)        AS iv30_pct
FROM
(
    SELECT
        maxIf(days_to_expiry, days_to_expiry <= 30)                     AS near_dte,
        minIf(days_to_expiry, days_to_expiry > 30)                      AS far_dte,
        argMaxIf(atm_iv, days_to_expiry, days_to_expiry <= 30)          AS near_iv,
        argMinIf(atm_iv, days_to_expiry, days_to_expiry > 30)           AS far_iv,
        argMaxIf(expiry_label, days_to_expiry, days_to_expiry <= 30)    AS near_expiry,
        argMinIf(expiry_label, days_to_expiry, days_to_expiry > 30)     AS far_expiry,
        argMaxIf(contracts, days_to_expiry, days_to_expiry <= 30)       AS near_contracts,
        argMinIf(contracts, days_to_expiry, days_to_expiry > 30)        AS far_contracts
    FROM
    (
        SELECT
            concat(monthName(expiration_date), ' ', toString(toDayOfMonth(expiration_date)), ', ', toString(toYear(expiration_date))) AS expiry_label,
            days_to_expiry,
            avg(toFloat64(implied_volatility))  AS atm_iv,
            count()                             AS contracts
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'AAPL'
          AND date = '2026-06-15'
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry BETWEEN 7 AND 90
          AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.025
        GROUP BY expiration_date, days_to_expiry
        HAVING contracts >= 2
    )
)
ARRAY JOIN
    ['near', 'far']                                     AS leg,
    [near_expiry, far_expiry]                           AS leg_expiry,
    [near_dte, far_dte]                                 AS leg_dte,
    [near_iv, far_iv]                                   AS leg_iv,
    [near_contracts, far_contracts]                     AS leg_contracts,
    [(far_dte - 30) / (far_dte - near_dte),
     (30 - near_dte) / (far_dte - near_dte)]            AS leg_weight
ORDER BY leg_dte