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SPY at-the-money and downside implied volatility across expiry bands, September 2026

most recentas of 2026-10-09 ranking 5×4read in context →

SPY at-the-money and downside implied volatility across expiry bands, September 2026 — 5 rows by 4 columns, computed 2026-10-09 from US exchange, SIP and OPRA data.
expiry_band	atm_iv_pct	downside_iv_pct	skew_spread_pts
7 to 21 days	12.09	22.23	10.14
22 to 45 days	13.02	18.69	5.67
46 to 90 days	14.02	18.67	4.65
91 to 180 days	15.1	18.48	3.38
181 to 365 days	16.7	19.13	2.43

the exact SQL behind every number

SELECT
    band                                                  AS expiry_band,
    round(avgIf(iv, abs(m) <= 0.01) * 100, 2)             AS atm_iv_pct,
    round(avgIf(iv, m >= -0.08 AND m <= -0.05) * 100, 2)  AS downside_iv_pct,
    round((avgIf(iv, m >= -0.08 AND m <= -0.05)
           - avgIf(iv, abs(m) <= 0.01)) * 100, 2)         AS skew_spread_pts
FROM
(
    SELECT
        iv,
        m,
        dte,
        multiIf(dte <=  21, '7 to 21 days',
                dte <=  45, '22 to 45 days',
                dte <=  90, '46 to 90 days',
                dte <= 180, '91 to 180 days',
                '181 to 365 days')                                    AS band
    FROM
    (
        SELECT
            toFloat64(implied_volatility)                             AS iv,
            toFloat64(strike_price) / toFloat64(underlying_close) - 1 AS m,
            days_to_expiry                                            AS dte
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND date >= '2026-09-01'
          AND date <  '2026-10-01'
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry BETWEEN 7 AND 365
          AND underlying_close > 0
          AND implied_volatility > 0
    )
)
GROUP BY band
HAVING countIf(abs(m) <= 0.01) >= 50
   AND countIf(m >= -0.08 AND m <= -0.05) >= 50
ORDER BY min(dte)

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