Why the Greeks Don't Add Up to Your P&L
Root sum of squared daily moves versus the net move, SPY by monthseries ·
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What Determines an Option's Price?
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Average solved volatility by time to expiry, near-the-money AAPL contractsranking ·
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2026-10-02 · 6×4
AAPL cash dividends and the yield they annualize toseries ·
2026-10-02 · 13×4
How Earnings Move Option Greeks
The Tesla $400 May call through its Q1 earnings (Apr 8 - May 6 2026)series ·
2026-08-24 · 21×5
Tesla's 8-K filings across Q1 2026 (EDGAR index)table ·
2026-08-24 · 4×3
Near-the-money Tesla May-expiry implied volatility around the printseries ·
2026-08-24 · 21×3
What Is IV Crush? Measured on Real Earnings
The biggest one-day ATM implied volatility collapses, June 1 - July 15, 2026series ·
2026-08-18 · 12×6
AVGO at-the-money implied volatility, daily, around the June 2026 reportseries ·
2026-08-18 · 15×3
The filing receipt: Broadcom's 8-K, first week of June 2026scalar ·
2026-08-18 · 1×21
Where to Get Historical Implied Volatility Data
Three ways to build a 30-day IV for SPY, from one set of rowsseries ·
2026-08-15 · 53×6
One name, one month: implied volatility by time to expiry (AAPL, June 2026)table ·
2026-08-15 · 6×5
Median near-the-money IV, 20 to 45 days to expiry (June 2026)ranking ·
2026-08-15 · 8×3
Underlying names with converged daily IV, by quartertable ·
2026-08-15 · 49×2
The Option Greeks Explained: Delta to Rho
One SPY $740 call's price over its 7-week life (expired Jun 18 2026)series ·
2026-08-15 · 31×2
Median greeks by time to expiration: every near-the-money US option, July 15, 2026table ·
2026-08-15 · 5×6
What Is Volatility Skew? The Smile, Measured
SPY implied volatility by strike: OTM puts below spot, OTM calls above, July 15, 2026ranking ·
2026-08-14 · 6×2
OTM put IV vs OTM call IV across every active underlying, July 15, 2026scalar ·
2026-08-14 · 1×4348
Steepest INVERTED skew: OTM calls pricier than OTM puts, July 15, 2026ranking ·
2026-08-14 · 8×4
What Is Option Vega? Volatility Sensitivity
SPY call vega peaks at the money (~30 days out, 2026-07-13)ranking ·
2026-08-13 · 5×2
At-the-money SPY vega grows with time to expiry (2026-07-13)ranking ·
2026-08-13 · 4×2
The SPY $740 call's implied volatility spiked when SPY fell, early June 2026series ·
2026-08-13 · 31×2
What Is Implied Volatility? IV, Explained
ATM implied volatility across every actively traded underlying, July 15, 2026scalar ·
2026-08-13 · 1×5753
SPY at-the-money IV by time to expiry: the term structure (2026-07-13)ranking ·
2026-08-13 · 4×2
SPY put IV rises as strikes fall: the volatility skew (2026-07-13)ranking ·
2026-08-13 · 5×2
SPY at-the-money implied volatility, month by month (Jul 2025 – Jul 2026)series ·
2026-08-13 · 13×2
At-the-money implied volatility by stock (2026-07-13)ranking ·
2026-08-13 · 7×2
What Is Option Rho? The Interest Rate Greek
Weekly average rho: SPY January 2027 calls against a rolling front-month seriesseries ·
2026-08-07 · 52×3
Average SPY option rho by time to expiration, indexed to the front monthranking ·
2026-08-07 · 6×4
Average rho on long-dated SPY options, by strike against the share priceranking ·
2026-08-07 · 7×4
Start-to-end change in Treasury yields by calendar year, in basis pointsranking ·
2026-08-07 · 13×3
How Option Greeks Change Over Time
The stock both options tracked: SPY, May 1 to Jun 15 2026series ·
2026-07-16 · 31×3
The $740 put's greeks, day by day (delta, gamma, theta, vega, IV%)series ·
2026-07-16 · 31×7
Call vs put on the same $740 strike: mirror-image pricesseries ·
2026-07-16 · 31×4
The $740 call's greeks, day by day (delta, gamma, theta, vega, IV%)series ·
2026-07-16 · 31×7
What Is Option Theta? Time Decay Explained
The SPY $740 call's daily time decay deepens into expiry (May–Jun 2026)series ·
2026-07-15 · 31×2
At-the-money SPY time decay accelerates near expiry (2026-07-13)series ·
2026-07-15 · 4×2
What Is Option Gamma? Delta's Accelerator
The $740 call's gamma climbs as expiry nearsseries ·
2026-07-15 · 31×2
SPY call gamma peaks at the money (~30 days out, 2026-07-13)ranking ·
2026-07-15 · 5×2
At-the-money SPY gamma by time to expiry (2026-07-13)ranking ·
2026-07-15 · 4×2
What Is Option Delta? A Plain-English Guide
The $740 call's delta follows SPY across the strikeseries ·
2026-07-15 · 31×3
Call delta by moneyness: the S-curve (SPY, ~30 days out, 2026-07-13)ranking ·
2026-07-15 · 5×2
Root sum of squared daily moves versus the net move, SPY by month
Root sum of squared daily moves versus the net move, SPY by month
| month | month_label | path_move_pct | net_move_pct |
|---|---|---|---|
| 2025-07 | Jul 2025 | 1.96 | 2.3 |
| 2025-08 | Aug 2025 | 3.4 | 2.09 |
| 2025-09 | Sep 2025 | 2.12 | 3.25 |
| 2025-10 | Oct 2025 | 4.08 | 2.44 |
| 2025-11 | Nov 2025 | 4.1 | 0.28 |
| 2025-12 | Dec 2025 | 2.41 | 0.19 |
| 2026-01 | Jan 2026 | 2.84 | 1.5 |
| 2026-02 | Feb 2026 | 3.58 | 0.8 |
| 2026-03 | Mar 2026 | 5.38 | 5.19 |
| 2026-04 | Apr 2026 | 3.96 | 10.07 |
| 2026-05 | May 2026 | 2.92 | 5.17 |
| 2026-06 | Jun 2026 | 4.99 | 1.17 |
the exact SQL behind every number
WITH
daily AS
(
SELECT
date,
toFloat64(any(close)) AS close_px
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2025-06-20'
AND date < '2026-07-01'
GROUP BY date
),
seq AS
(
SELECT *, row_number() OVER (ORDER BY date) AS n
FROM daily
),
steps AS
(
SELECT
toStartOfMonth(b.date) AS m,
b.close_px / a.close_px - 1 AS ret
FROM seq AS a
INNER JOIN seq AS b ON b.n = a.n + 1
WHERE b.date >= '2025-07-01'
)
SELECT
formatDateTime(m, '%Y-%m') AS month,
formatDateTime(m, '%b %Y') AS month_label,
round(100 * sqrt(sum(pow(ret, 2))), 2) AS path_move_pct,
round(100 * abs(sum(ret)), 2) AS net_move_pct
FROM steps
GROUP BY m
ORDER BY m
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