Buying Puts vs Buying Calls: Why Puts Cost More
The 25-delta wing spread on SPY, month by monthseries ·
2026-09-30 · 24×4
SPY implied volatility at equal distance out of the money, puts against callsranking ·
2026-09-30 · 6×4
Realised volatility inside SPY months, grouped by that month's returnranking ·
2026-09-30 · 4×3
At-the-money put minus call at the identical strike, six large capsranking ·
2026-09-30 · 6×4
Break-even move required on 5% out-of-the-money SPY puts and callsranking ·
2026-09-30 · 4×4
Box Spread Options and the Implied Loan Rate
Annualised cost of a hypothetical 10 cent fill error on a ten point boxranking ·
2026-08-06 · 12×2
Where SPY option volume sits, by strike distance from spot (June 2026)ranking ·
2026-08-06 · 5×3
A ten point box valued at every level SPY closed at in June 2026table ·
2026-08-06 · 8×5
Net delta of a SPY box as the upper strike widens (June 1, 2026)ranking ·
2026-08-06 · 9×4
Put-Call Parity Explained, With Real Numbers
Call and put implied volatility near the money across AAPL monthly expirations, June 16 2026series ·
2026-08-05 · 7×6
Call and put implied volatility at matched AAPL strikes, Sep 18 2026 expiryranking ·
2026-08-05 · 15×4
The 25-delta wing spread on SPY, month by month
The 25-delta wing spread on SPY, month by month
| month | put_25d_iv_pct | call_25d_iv_pct | skew_spread_pct |
|---|---|---|---|
| 2024-09-01 | 17.51 | 11.9 | 5.61 |
| 2024-10-01 | 18.78 | 13.57 | 5.21 |
| 2024-11-01 | 15.3 | 11.29 | 4.01 |
| 2024-12-01 | 14.54 | 10.1 | 4.44 |
| 2025-01-01 | 16.03 | 11.92 | 4.1 |
| 2025-02-01 | 16.62 | 11.22 | 5.4 |
| 2025-03-01 | 22.19 | 15.81 | 6.37 |
| 2025-04-01 | 31.99 | 24.6 | 7.39 |
| 2025-05-01 | 21.32 | 14.91 | 6.41 |
| 2025-06-01 | 18.49 | 12.53 | 5.97 |
| 2025-07-01 | 16.34 | 11.95 | 4.39 |
| 2025-08-01 | 16 | 10.64 | 5.36 |
| 2025-09-01 | 16.2 | 10.37 | 5.82 |
| 2025-10-01 | 18.19 | 12.8 | 5.39 |
| 2025-11-01 | 20.17 | 13.56 | 6.61 |
| 2025-12-01 | 15.89 | 10.76 | 5.14 |
| 2026-01-01 | 16.1 | 11.32 | 4.78 |
| 2026-02-01 | 20.2 | 12.81 | 7.39 |
| 2026-03-01 | 26.18 | 16.51 | 9.67 |
| 2026-04-01 | 20.93 | 13.58 | 7.35 |
| 2026-05-01 | 17.51 | 12.63 | 4.88 |
| 2026-06-01 | 18.25 | 12.91 | 5.34 |
| 2026-07-01 | 17.39 | 11.98 | 5.41 |
| 2026-08-01 | 15.38 | 10.97 | 4.42 |
the exact SQL behind every number
SELECT
toString(toStartOfMonth(date)) AS month,
round(avgIf(toFloat64(implied_volatility), delta BETWEEN -0.30 AND -0.20) * 100, 2) AS put_25d_iv_pct,
round(avgIf(toFloat64(implied_volatility), delta BETWEEN 0.20 AND 0.30) * 100, 2) AS call_25d_iv_pct,
round((avgIf(toFloat64(implied_volatility), delta BETWEEN -0.30 AND -0.20)
- avgIf(toFloat64(implied_volatility), delta BETWEEN 0.20 AND 0.30)) * 100, 2) AS skew_spread_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date >= '2024-09-01'
AND date < '2026-09-01'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
GROUP BY month
HAVING countIf(delta BETWEEN -0.30 AND -0.20) > 0
AND countIf(delta BETWEEN 0.20 AND 0.30) > 0
ORDER BY month
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