Where SPY option volume sits, by strike distance from spot (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 2026-08-06, from Box Spread Options and the Implied Loan Rate.
| moneyness_bucket | contracts_pct | turnover_pct |
|---|---|---|
| more than 15% below spot | 23.06 | 25.03 |
| 5% to 15% below spot | 21.91 | 17.56 |
| within 5% of spot | 34.99 | 43 |
| 5% to 15% above spot | 12.67 | 10.8 |
| more than 15% above spot | 7.37 | 3.61 |
- Rows × columns
- 5 × 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_bucket |
text | 5 distinct values | |
contracts_pct |
number | 7.37 to 34.99 | percent |
turnover_pct |
number | 3.61 to 43 | percent |
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
chain AS
(
SELECT
multiIf(
toFloat64(strike_price) / toFloat64(underlying_close) < 0.85, 1,
toFloat64(strike_price) / toFloat64(underlying_close) < 0.95, 2,
toFloat64(strike_price) / toFloat64(underlying_close) < 1.05, 3,
toFloat64(strike_price) / toFloat64(underlying_close) < 1.15, 4,
5) AS bucket_key,
multiIf(
bucket_key = 1, 'more than 15% below spot',
bucket_key = 2, '5% to 15% below spot',
bucket_key = 3, 'within 5% of spot',
bucket_key = 4, '5% to 15% above spot',
'more than 15% above spot') AS moneyness_bucket,
volume
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date >= '2026-06-01'
AND date < '2026-07-01'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 30 AND 400
),
totals AS
(
SELECT
sum(volume) AS all_volume,
count() AS all_rows
FROM chain
)
SELECT
moneyness_bucket,
round(100 * count() / any(all_rows), 2) AS contracts_pct,
round(100 * sum(volume) / any(all_volume), 2) AS turnover_pct
FROM chain
CROSS JOIN totals
GROUP BY bucket_key, moneyness_bucket
ORDER BY bucket_key