Delta change from a 1% SPY move, by distance from the strike (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.
| moneyness | next_day_delta_shift | month_out_delta_shift |
|---|---|---|
| -2% | 0.078 | 0.071 |
| -1.5% | 0.131 | 0.077 |
| -1% | 0.224 | 0.081 |
| -0.5% | 0.372 | 0.087 |
| 0% | 0.497 | 0.092 |
| +0.5% | 0.388 | 0.097 |
| +1% | 0.211 | 0.098 |
| +1.5% | 0.094 | 0.097 |
| +2% | 0.042 | 0.095 |
- Rows × columns
- 9 × 3
- 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 |
|---|---|---|---|
moneyness |
text | 9 distinct values (+0.5%, +1%, +1.5%…) | |
next_day_delta_shift |
number | 0.042 to 0.497 | |
month_out_delta_shift |
number | 0.071 to 0.098 |
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
concat(if(half_pct > 0, '+', ''), toString(half_pct / 2), '%') AS moneyness,
round(avgIf(gma * spot / 100, dte <= 1), 3) AS next_day_delta_shift,
round(avgIf(gma * spot / 100, dte BETWEEN 21 AND 45), 3) AS month_out_delta_shift
FROM
(
SELECT
toInt32(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 200)) AS half_pct,
days_to_expiry AS dte,
toFloat64(gamma) AS gma,
toFloat64(underlying_close) AS spot
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date >= toDate('2026-06-01')
AND date < toDate('2026-07-01')
AND ((days_to_expiry > 0 AND days_to_expiry <= 1) OR days_to_expiry BETWEEN 21 AND 45)
AND iv_converged = 1
AND volume > 0
AND option_close > 0
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.0225
AND ((lower(toString(option_type)) IN ('call', 'c') AND strike_price >= underlying_close)
OR (lower(toString(option_type)) IN ('put', 'p') AND strike_price < underlying_close))
)
GROUP BY half_pct
HAVING countIf(dte <= 1) > 0 AND countIf(dte BETWEEN 21 AND 45) > 0
ORDER BY half_pct
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