synthetics — 2 answered market questions

Call and put implied volatility near the money across AAPL monthly expirations, June 16 2026

most recentas of 2026-08-05 series 7×6read in context →

Call and put implied volatility near the money across AAPL monthly expirations, June 16 2026 — 7 rows by 6 columns, computed 2026-08-05 from US exchange, SIP and OPRA data.
expiry_date	days_out	atm_strike_used	call_iv_pct	put_iv_pct	iv_gap_pct
2026-07-17	31	$300	21.9	20.5	1.4
2026-08-21	66	$300	25.1	24.3	0.8
2026-09-18	94	$300	25.2	24.5	0.7
2026-10-16	122	$300	25.2	24.3	0.9
2026-11-20	157	$295	26.8	26.3	0.5
2026-12-18	185	$300	26	26.2	-0.2
2027-01-15	213	$300	26.4	26.2	0.3

the exact SQL behind every number

SELECT
    expiry_date,
    days_out,
    concat('$', toString(argMin(strike, atm_gap)))                        AS atm_strike_used,
    round(100 * argMin(call_iv, atm_gap), 1)                              AS call_iv_pct,
    round(100 * argMin(put_iv, atm_gap), 1)                               AS put_iv_pct,
    round(100 * (argMin(call_iv, atm_gap) - argMin(put_iv, atm_gap)), 1)  AS iv_gap_pct
FROM
(
    SELECT
        expiry_date,
        days_out,
        strike,
        call_iv,
        put_iv,
        abs(strike / spot_close - 1) AS atm_gap
    FROM
    (
        SELECT
            toString(expiration_date)                                    AS expiry_date,
            max(dateDiff('day', toDate(date), toDate(expiration_date)))  AS days_out,
            round(toFloat64(strike_price), 2)                            AS strike,
            maxIf(toFloat64(implied_volatility), leg = 'C')              AS call_iv,
            maxIf(toFloat64(implied_volatility), leg = 'P')              AS put_iv,
            max(toFloat64(underlying_close))                             AS spot_close
        FROM
        (
            SELECT
                date,
                expiration_date,
                strike_price,
                implied_volatility,
                underlying_close,
                upper(substring(ticker, length(ticker) - 8, 1)) AS leg
            FROM global_markets.options_greeks
            WHERE underlying_symbol = 'AAPL'
              AND date = '2026-06-16'
              AND expiration_date BETWEEN '2026-07-01' AND '2027-01-31'
              AND toDayOfWeek(toDate(expiration_date)) = 5
              AND toDayOfMonth(toDate(expiration_date)) BETWEEN 15 AND 21
              AND iv_converged = 1
              AND volume > 0
              AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.03
        )
        GROUP BY expiry_date, strike
        HAVING countIf(leg = 'C') > 0
           AND countIf(leg = 'P') > 0
    )
)
GROUP BY expiry_date, days_out
ORDER BY expiry_date

More from this analysisPut-Call Parity Explained, With Real Numbers

Call and put implied volatility at matched AAPL strikes, Sep 18 2026 expiry ranking 15×4 → Annualised cost of a hypothetical 10 cent fill error on a ten point box ranking 12×2 → Net delta of a SPY box as the upper strike widens (June 1, 2026) ranking 9×4 → A ten point box valued at every level SPY closed at in June 2026 table 8×5 → See all 2,173 queries →