Median gamma, theta and delta by time to expiry: near-the-money US options, July 15, 2026
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-07-31, from 0DTE Options Strategies: How They Trade.
| time_to_expiry | contracts | median_gamma | median_abs_theta | median_abs_delta |
|---|---|---|---|---|
| 1-2 days | 6063 | 0.0915 | 0.367 | 0.49 |
| 3-7 days | 810 | 0.0249 | 0.358 | 0.49 |
| 8-30 days | 10642 | 0.0297 | 0.163 | 0.5 |
| Over 30 days | 13242 | 0.0151 | 0.055 | 0.52 |
- Rows × columns
- 4 × 5
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
time_to_expiry |
text | 4 distinct values (1-2 days, 3-7 days, 8-30 days…) | |
contracts |
number | 810 to 13,242 | count |
median_gamma |
number | 0.0151 to 0.0915 | |
median_abs_theta |
number | 0.055 to 0.367 | |
median_abs_delta |
number | 0.49 to 0.52 |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
SELECT multiIf(days_to_expiry = 0, '0 (same day)',
days_to_expiry <= 2, '1-2 days',
days_to_expiry <= 7, '3-7 days',
days_to_expiry <= 30, '8-30 days',
'Over 30 days') AS time_to_expiry,
count() AS contracts,
round(quantileExact(0.5)(gamma), 4) AS median_gamma,
round(quantileExact(0.5)(abs(theta)), 3) AS median_abs_theta,
round(quantileExact(0.5)(abs(delta)), 2) AS median_abs_delta
FROM global_markets.options_greeks
WHERE date = toDate('2026-07-15')
AND iv_converged
AND implied_volatility BETWEEN 0.02 AND 5
AND abs(strike_price / underlying_close - 1) <= 0.02
AND days_to_expiry >= 0
GROUP BY time_to_expiry
ORDER BY min(days_to_expiry)
在你的 AI 助手中使用这些数据
打开即可查询，已带上本页数据。免费，无需账号。