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What Is Vomma? The Convexity of Vega
How far the vega-only estimate falls short, by size of the vol moveranking ·
2026-10-05 · 7×3
Vega and vomma across strikes, one SPY expiryranking ·
2026-10-05 · 7×4
Implied volatility across strikes on the same SPY expiryranking ·
2026-10-05 · 7×4
Percent change in vega per vol point, by time to expiry (SPY)ranking ·
2026-10-05 · 5×3
What Is a Calendar Spread in Options?
Near the money implied volatility by expiry band, three namesranking ·
2026-10-04 · 6×4
AAPL front band against back band implied volatility, trailing monthsseries ·
2026-10-04 · 81×4
How often front volatility sat above back volatilityranking ·
2026-10-04 · 5×4
Theta and vega across expiry bands, near the money AAPLranking ·
2026-10-04 · 6×3
Collar Option Greeks as the Stock Moves
Net collar gamma at 90, 30 and 7 days to expiryranking ·
2026-08-18 · 5×4
Net collar gamma, theta and vega across the price rangeranking ·
2026-08-18 · 5×4
Collar delta at five stock prices, 30 days to expirytable ·
2026-08-18 · 5×5
AAPL implied volatility by strike distance, downside puts vs upside calls (May to July 2026)ranking ·
2026-08-18 · 6×4
Is High Implied Volatility Good? IV in Context
Implied volatility beside the movement each stock actually delivered over the prior 30 sessionsranking ·
2026-08-17 · 11×4
The same reading against each name's own 52-week implied volatility range (July 28, 2026)table ·
2026-08-17 · 11×5
At-the-money implied volatility, eleven familiar tickers (July 28, 2026)ranking ·
2026-08-17 · 11×2
Where near-the-money implied volatility sat across the traded options market (July 28, 2026)ranking ·
2026-08-17 · 6×4
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 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
Implied Volatility vs Vega: The Difference
Where vega peaks: AAPL vega and IV across strikes, 20 to 45 days out (July 2026)ranking ·
2026-08-13 · 12×4
Same underlying, same IV, rising vega: AAPL by days to expiry (July 2026)ranking ·
2026-08-13 · 14×4
Contract days behind the weekly IV series, by monthseries ·
2026-08-13 · 12×5
One input, three levels: weekly average IV for AAPL, NVDA and KO (20 to 45 days out)series ·
2026-08-13 · 53×5
Iron Condor vs Iron Butterfly: Break-Evens
Vega across the SPY ladder, indexed to the at-the-money strike, May 2026ranking ·
2026-08-07 · 13×3
What a 30-day SPY option cost at each distance from spot, May 2026 averagesranking ·
2026-08-07 · 13×3
At-the-money implied volatility and the 30-day expected move it prices, May 2026ranking ·
2026-08-07 · 6×3
Strikes that actually traded per session, 20 to 45 days out, May 2026series ·
2026-08-07 · 6×3
What Are LEAPS? Long-Dated Options
SPY, the call's delta, and its implied volatility at four life stagesseries ·
2026-07-16 · 4×4
One SPY $600 LEAPS call's price over two years (expired Jan 16 2026)series ·
2026-07-16 · 470×2
Theta (daily decay) against days to expiry, across the call's lifeseries ·
2026-07-16 · 4×3
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
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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