put_vs_shares

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
    symbol,
    put_debit_usd,
    shares_cost_usd,
    round(100 * put_debit_usd / shares_cost_usd, 1) AS put_pct_of_shares,
    as_of_label
FROM
(
    SELECT
        underlying_symbol                                             AS symbol,
        round(toFloat64(argMin(option_close, moneyness)) * 100, 0)    AS put_debit_usd,
        round(toFloat64(argMin(underlying_close, moneyness)) * 100, 0) AS shares_cost_usd,
        formatDateTime(any(date), '%b %e, %Y')                        AS as_of_label
    FROM
    (
        SELECT
            underlying_symbol,
            date,
            option_close,
            underlying_close,
            abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) AS moneyness
        FROM global_markets.options_greeks
        WHERE date = (SELECT max(date) FROM global_markets.options_greeks WHERE date >= today() - 40)
          AND underlying_symbol IN ('AAPL', 'KO', 'MSFT', 'NVDA', 'SPY')
          AND lower(option_type) IN ('put', 'p')
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry BETWEEN 20 AND 45
          AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
    )
    GROUP BY underlying_symbol
)
ORDER BY put_pct_of_shares