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Average implied volatility by delta bucket, trailing twelve months

most recentas of 2026-09-23 ranking 5×3read in context →

Average implied volatility by delta bucket, trailing twelve months — 5 rows by 3 columns, computed 2026-09-23 from US exchange, SIP and OPRA data.
delta_bucket	gld_iv_pct	spy_iv_pct
10 delta put	27.31	23.17
25 delta put	25.96	18.86
at the money	25.09	14.98
25 delta call	25.73	12.7
10 delta call	27.67	11.65

the exact SQL behind every number

WITH wings AS
(
    SELECT
        underlying_symbol AS sym,
        multiIf(
            delta BETWEEN -0.15 AND -0.05, 1,
            delta BETWEEN -0.32 AND -0.18, 2,
            delta BETWEEN  0.45 AND  0.55, 3,
            delta BETWEEN  0.18 AND  0.32, 4,
            delta BETWEEN  0.05 AND  0.15, 5,
            0)            AS ord,
        toFloat64(implied_volatility) * 100 AS iv_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol IN ('GLD', 'SPY')
      AND date >= '2025-09-01'
      AND date <  '2026-09-01'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
)
SELECT
    ['10 delta put', '25 delta put', 'at the money', '25 delta call', '10 delta call'][ord] AS delta_bucket,
    round(avgIf(iv_pct, sym = 'GLD'), 2) AS gld_iv_pct,
    round(avgIf(iv_pct, sym = 'SPY'), 2) AS spy_iv_pct
FROM wings
WHERE ord > 0
GROUP BY ord
HAVING countIf(sym = 'GLD') > 0
   AND countIf(sym = 'SPY') > 0
ORDER BY ord

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