0DTE vs 1DTE 옵션 차이: 하룻밤 사이 무엇이 달라지나

SELECT
    concat(toString(days_to_expiry), 'DTE')                                          AS dte_bucket,
    days_to_expiry                                                                   AS dte,
    round(argMinIf(premium, moneyness_gap, underlying_symbol = 'SPY'), 2)            AS spy_atm_call_premium,
    round(argMinIf(premium, moneyness_gap, underlying_symbol = 'QQQ'), 2)            AS qqq_atm_call_premium,
    round(argMinIf(delta_change_1pct, moneyness_gap, underlying_symbol = 'SPY'), 3)  AS spy_delta_change_per_1pct,
    round(argMinIf(delta_change_1pct, moneyness_gap, underlying_symbol = 'QQQ'), 3)  AS qqq_delta_change_per_1pct,
    round(argMinIf(theta_pct, moneyness_gap, underlying_symbol = 'SPY'), 1)          AS spy_theta_pct_of_premium,
    round(argMinIf(theta_pct, moneyness_gap, underlying_symbol = 'QQQ'), 1)          AS qqq_theta_pct_of_premium
FROM
(
    SELECT
        underlying_symbol,
        days_to_expiry,
        abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1)  AS moneyness_gap,
        toFloat64(option_close)                                         AS premium,
        gamma * toFloat64(underlying_close) / 100                       AS delta_change_1pct,
        -theta / toFloat64(option_close) * 100                          AS theta_pct
    FROM global_markets.options_greeks
    WHERE date = '2025-06-12'
      AND underlying_symbol IN ('SPY', 'QQQ')
      AND lower(toString(option_type)) IN ('call', 'c')
      AND days_to_expiry BETWEEN 1 AND 10
      AND iv_converged = 1
      AND volume > 0
      AND option_close > 0
)
GROUP BY days_to_expiry
HAVING countIf(underlying_symbol = 'SPY') > 0
   AND countIf(underlying_symbol = 'QQQ') > 0
ORDER BY days_to_expiry

SELECT
    toString(date)                                                                 AS session_date,
    concat(toString(toMonth(date)), '월 ', toString(toDayOfMonth(date)), '일')      AS day_label,
    any(days_to_expiry)                                                            AS dte,
    round((anyIf(underlying_px, side = 'C') / any(strike) - 1) * 100, 2)           AS spy_vs_strike_pct,
    round(anyIf(premium, side = 'C'), 2)                                           AS call_premium,
    round(anyIf(premium, side = 'P'), 2)                                           AS put_premium,
    round(anyIf(premium, side = 'C') + anyIf(premium, side = 'P'), 2)              AS straddle_premium,
    round(anyIf(theta, side = 'C'), 3)                                             AS call_theta,
    round(-anyIf(theta, side = 'C') / anyIf(premium, side = 'C') * 100, 1)         AS call_theta_pct_of_premium,
    round(anyIf(gamma, side = 'C') * anyIf(underlying_px, side = 'C') / 100, 3)    AS call_delta_change_per_1pct
FROM
(
    SELECT
        date,
        days_to_expiry,
        toFloat64(strike_price)                                       AS strike,
        toFloat64(underlying_close)                                   AS underlying_px,
        toFloat64(option_close)                                       AS premium,
        theta,
        gamma,
        if(lower(toString(option_type)) IN ('call', 'c'), 'C', 'P')   AS side
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND expiration_date = '2025-06-13'
      AND date BETWEEN '2025-06-06' AND '2025-06-12'
      AND strike_price = (
              SELECT argMin(strike_price, abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1))
              FROM global_markets.options_greeks
              WHERE date = '2025-06-12'
                AND underlying_symbol = 'SPY'
                AND expiration_date = '2025-06-13'
                AND lower(toString(option_type)) IN ('call', 'c')
                AND iv_converged = 1
                AND volume > 0
          )
      AND iv_converged = 1
      AND volume > 0
      AND option_close > 0
)
GROUP BY date
HAVING countIf(side = 'C') > 0
   AND countIf(side = 'P') > 0
ORDER BY date

SELECT
    formatDateTime(toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 30 MINUTE), '%m-%d %H:%i') AS et_time,
    round(argMaxIf(toFloat64(close), window_start, substring(ticker, length(ticker) - 8, 1) = 'C'), 2)                 AS call_premium,
    round(argMaxIf(toFloat64(close), window_start, substring(ticker, length(ticker) - 8, 1) = 'P'), 2)                 AS put_premium,
    round(argMaxIf(toFloat64(close), window_start, substring(ticker, length(ticker) - 8, 1) = 'C')
        + argMaxIf(toFloat64(close), window_start, substring(ticker, length(ticker) - 8, 1) = 'P'), 2)                 AS straddle_premium,
    toInt64(sum(volume))                                                                                                AS traded_volume
FROM global_markets.options_minute_aggs
WHERE ticker IN (
        SELECT ticker
        FROM global_markets.options_greeks
        WHERE date = '2025-06-12'
          AND underlying_symbol = 'SPY'
          AND expiration_date = '2025-06-13'
          AND strike_price = (
                  SELECT argMin(strike_price, abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1))
                  FROM global_markets.options_greeks
                  WHERE date = '2025-06-12'
                    AND underlying_symbol = 'SPY'
                    AND expiration_date = '2025-06-13'
                    AND lower(toString(option_type)) IN ('call', 'c')
                    AND iv_converged = 1
                    AND volume > 0
              )
    )
  AND window_start >= toDateTime('2025-06-12 13:00:00', 'UTC')
  AND window_start <  toDateTime('2025-06-14 00:00:00', 'UTC')
GROUP BY et_time
HAVING countIf(substring(ticker, length(ticker) - 8, 1) = 'C') > 0
   AND countIf(substring(ticker, length(ticker) - 8, 1) = 'P') > 0
ORDER BY et_time

SELECT
    toString(d.date)                                                                  AS session_date,
    concat(toString(toMonth(d.date)), '월 ', toString(toDayOfMonth(d.date)), '일')     AS day_label,
    round(d.open_px, 2)                                                               AS open,
    round(d.close_px, 2)                                                              AS close,
    round((d.open_px / d.prev_close - 1) * 100, 2)                                    AS overnight_gap_pct,
    round((d.close_px / d.open_px - 1) * 100, 2)                                      AS intraday_move_pct
FROM
(
    SELECT
        date,
        open_px,
        close_px,
        lagInFrame(close_px, 1) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING) AS prev_close
    FROM
    (
        SELECT
            date,
            any(toFloat64(open))  AS open_px,
            any(toFloat64(close)) AS close_px
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date BETWEEN '2025-06-06' AND '2025-06-13'
        GROUP BY date
    )
) AS d
WHERE d.date >= '2025-06-09'
ORDER BY d.date

SELECT
    bucket,
    overnight_gap_sessions,
    intraday_move_sessions,
    round(overnight_gap_sessions * 100 / sum(overnight_gap_sessions) OVER (), 1) AS overnight_gap_share_pct,
    round(intraday_move_sessions * 100 / sum(intraday_move_sessions) OVER (), 1) AS intraday_move_share_pct
FROM
(
    SELECT
        multiIf(move_pct < 0.25, '0.25% 미만',
                move_pct < 0.50, '0.25~0.50%',
                move_pct < 1.00, '0.50~1.00%',
                '1.00% 이상')                                                    AS bucket,
        multiIf(move_pct < 0.25, 1, move_pct < 0.50, 2, move_pct < 1.00, 3, 4)   AS bucket_order,
        countIf(kind = 'overnight_gap')                                          AS overnight_gap_sessions,
        countIf(kind = 'intraday_move')                                          AS intraday_move_sessions
    FROM
    (
        SELECT
            date,
            abs((open_px / prev_close - 1) * 100) AS overnight_gap,
            abs((close_px / open_px - 1) * 100)   AS intraday_move
        FROM
        (
            SELECT
                date,
                open_px,
                close_px,
                lagInFrame(close_px, 1) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING) AS prev_close
            FROM
            (
                SELECT
                    date,
                    any(toFloat64(open))  AS open_px,
                    any(toFloat64(close)) AS close_px
                FROM global_markets.stocks_daily_aggs
                WHERE ticker = 'SPY'
                  AND date BETWEEN '2024-12-31' AND '2025-12-31'
                GROUP BY date
            )
        )
        WHERE date >= '2025-01-01'
    )
    ARRAY JOIN
        ['overnight_gap', 'intraday_move'] AS kind,
        [overnight_gap, intraday_move]     AS move_pct
    GROUP BY bucket, bucket_order
)
ORDER BY bucket_order