{"slug":"are-0dte-options-high-risk","qid":"premium_ladder","label":"premium_ladder","post_title":"are-0dte-options-high-risk","post_url":"/blog/are-0dte-options-high-risk#q-premium_ladder","columns":["dte_bucket","avg_premium","breakeven_move_pct","double_move_pct","delta_move_pct"],"rows":[{"dte_bucket":"1 day (next session)","avg_premium":3.02,"breakeven_move_pct":0.41,"double_move_pct":0.81,"delta_move_pct":0.79},{"dte_bucket":"2-5 days","avg_premium":4.77,"breakeven_move_pct":0.64,"double_move_pct":1.29,"delta_move_pct":1.25},{"dte_bucket":"6-10 days","avg_premium":6.7,"breakeven_move_pct":0.9,"double_move_pct":1.8,"delta_move_pct":1.73},{"dte_bucket":"11-20 days","avg_premium":9.02,"breakeven_move_pct":1.22,"double_move_pct":2.43,"delta_move_pct":2.31},{"dte_bucket":"21-45 days","avg_premium":14.27,"breakeven_move_pct":1.92,"double_move_pct":3.84,"delta_move_pct":3.56}],"shape":"table","sql":"WITH atm_calls AS\n(\n    SELECT\n        days_to_expiry              AS dte,\n        toFloat64(option_close)     AS premium,\n        toFloat64(underlying_close) AS spot,\n        toFloat64(delta)            AS dlt\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'SPY'\n      AND lower(toString(option_type)) IN ('call', 'c')\n      AND date >= toDate('2026-06-01')\n      AND date <  toDate('2026-07-01')\n      AND days_to_expiry > 0\n      AND days_to_expiry <= 45\n      AND iv_converged = 1\n      AND volume > 0\n      AND option_close > 0\n      AND toFloat64(delta) BETWEEN 0.2 AND 0.8\n      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.0025\n)\nSELECT\n    multiIf(dte <= 1,  '1 day (next session)',\n            dte <= 5,  '2-5 days',\n            dte <= 10, '6-10 days',\n            dte <= 20, '11-20 days',\n                       '21-45 days')                   AS dte_bucket,\n    round(avg(premium), 2)                             AS avg_premium,\n    round(avg(premium / spot) * 100, 2)                AS breakeven_move_pct,\n    round(avg(premium / spot) * 200, 2)                AS double_move_pct,\n    round(avg(premium / (dlt * spot)) * 100, 2)        AS delta_move_pct\nFROM atm_calls\nGROUP BY dte_bucket\nORDER BY min(dte)","computed_at":"2026-09-18T15:24:07.913871+00:00","elapsed":0.00852736}