iron butterfly — 4 answered market questions

Vega across the SPY ladder, indexed to the at-the-money strike, May 2026

most recentas of 2026-08-07 ranking 13×3read in context →

Vega across the SPY ladder, indexed to the at-the-money strike, May 2026 — 13 rows by 3 columns, computed 2026-08-07 from US exchange, SIP and OPRA data.
strike_vs_spot	vol_risk_7_to_14d_pct	vol_risk_25_to_35d_pct
-6%	24	51
-5%	30	59
-4%	40	69
-3%	53	78
-2%	70	88
-1%	89	96
0%	100	100
+1%	90	99
+2%	63	92
+3%	34	78
+4%	17	61
+5%	9	46
+6%	7	33

the exact SQL behind every number

WITH chain AS
(
    SELECT
        toInt32(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 100)) AS off_pct,
        toFloat64(vega)                                                                   AS leg_vega,
        if(days_to_expiry <= 14, 'near', 'far')                                           AS dte_bucket
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date BETWEEN '2026-05-01' AND '2026-05-29'
      AND volume > 0
      AND iv_converged = 1
      AND ((days_to_expiry BETWEEN 7 AND 14) OR (days_to_expiry BETWEEN 25 AND 35))
)
SELECT
    concat(if(off_pct > 0, '+', ''), toString(off_pct), '%') AS strike_vs_spot,
    round(avgIf(leg_vega, dte_bucket = 'near')
          / (SELECT avgIf(leg_vega, dte_bucket = 'near') FROM chain WHERE off_pct = 0) * 100) AS vol_risk_7_to_14d_pct,
    round(avgIf(leg_vega, dte_bucket = 'far')
          / (SELECT avgIf(leg_vega, dte_bucket = 'far') FROM chain WHERE off_pct = 0) * 100)  AS vol_risk_25_to_35d_pct
FROM chain
GROUP BY off_pct
HAVING off_pct BETWEEN -6 AND 6
   AND countIf(dte_bucket = 'near') > 0
   AND countIf(dte_bucket = 'far') > 0
ORDER BY off_pct

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strike_vs_spot	vol_risk_7_to_14d_pct	vol_risk_25_to_35d_pct
-6%	24	51
-5%	30	59
-4%	40	69
-3%	53	78
-2%	70	88
-1%	89	96
0%	100	100
+1%	90	99
+2%	63	92
+3%	34	78
+4%	17	61
+5%	9	46
+6%	7	33

strike_vs_spot	vol_risk_7_to_14d_pct	vol_risk_25_to_35d_pct
-6%	24	51
-5%	30	59
-4%	40	69
-3%	53	78
-2%	70	88
-1%	89	96
0%	100	100
+1%	90	99
+2%	63	92
+3%	34	78
+4%	17	61
+5%	9	46
+6%	7	33

strike_vs_spot	vol_risk_7_to_14d_pct	vol_risk_25_to_35d_pct
-6%	24	51
-5%	30	59
-4%	40	69
-3%	53	78
-2%	70	88
-1%	89	96
0%	100	100
+1%	90	99
+2%	63	92
+3%	34	78
+4%	17	61
+5%	9	46
+6%	7	33