Gamma and theta per dollar of premium, by days to expiry (June 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 2026-09-18, from Are 0DTE Options High Risk? What the Greeks Say.
| dte_bucket | gamma_per_premium_dollar | theta_pct_per_day | gamma_ratio_vs_month_out | theta_ratio_vs_month_out |
|---|---|---|---|---|
| 1 day (next session) | 0.0295 | 51.8 | 31.8 | 28.7 |
| 2-5 days | 0.0093 | 17 | 10 | 9.4 |
| 6-10 days | 0.0047 | 6.9 | 5.1 | 3.9 |
| 11-20 days | 0.0023 | 3.9 | 2.5 | 2.2 |
| 21-45 days | 0.0009 | 1.8 | 1 | 1 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
dte_bucket |
text | 5 distinct values | |
gamma_per_premium_dollar |
number | 0.0009 to 0.0295 | US dollars |
theta_pct_per_day |
number | 1.8 to 51.8 | percent |
gamma_ratio_vs_month_out |
number | 1 to 31.8 | ratio or rate |
theta_ratio_vs_month_out |
number | 1 to 28.7 | ratio or rate |
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.
WITH atm_calls AS
(
SELECT
days_to_expiry AS dte,
toFloat64(option_close) AS premium,
toFloat64(gamma) AS gma,
toFloat64(theta) AS tht
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND lower(toString(option_type)) IN ('call', 'c')
AND date >= toDate('2026-06-01')
AND date < toDate('2026-07-01')
AND days_to_expiry > 0
AND days_to_expiry <= 45
AND iv_converged = 1
AND volume > 0
AND option_close > 0
AND toFloat64(delta) BETWEEN 0.2 AND 0.8
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.0025
),
ladder AS
(
SELECT
multiIf(dte <= 1, '1 day (next session)',
dte <= 5, '2-5 days',
dte <= 10, '6-10 days',
dte <= 20, '11-20 days',
'21-45 days') AS dte_bucket,
min(dte) AS dte_lo,
avg(gma / premium) AS gamma_raw,
avg(abs(tht) / premium) * 100 AS theta_raw
FROM atm_calls
GROUP BY dte_bucket
)
SELECT
dte_bucket,
round(gamma_raw, 4) AS gamma_per_premium_dollar,
round(theta_raw, 1) AS theta_pct_per_day,
round(gamma_raw / (SELECT gamma_raw FROM ladder WHERE dte_bucket = '21-45 days'), 1) AS gamma_ratio_vs_month_out,
round(theta_raw / (SELECT theta_raw FROM ladder WHERE dte_bucket = '21-45 days'), 1) AS theta_ratio_vs_month_out
FROM ladder
ORDER BY dte_lo
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