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Collar delta at five stock prices, 30 days to expiry

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 2026-08-18, from Collar Option Greeks as the Stock Moves.

as of table 5×5read in context →
Collar delta at five stock prices, 30 days to expiry — 5 rows by 5 columns, computed from US exchange, SIP and OPRA data.
spot_pricestock_deltalong_put_deltashort_call_deltanet_delta
$85100-76.3023.7
$90100-46.7-0.352.9
$100100-6-10.683.4
$110100-0.2-53.346.5
$1181000-85.614.4
Rows × columns
5 × 5
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for Collar delta at five stock prices, 30 days to expiry, derived from the stored result.
ColumnTypeRangeNotes
spot_price text 5 distinct values ($100, $110, $118…)
stock_delta number every row is 100
long_put_delta number -76.3 to 0
short_call_delta number -85.6 to 0
net_delta number 14.4 to 83.4

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.

the exact SQL behind every number 
SELECT
    spot_price,
    stock_delta,
    long_put_delta,
    short_call_delta,
    net_delta
FROM
(
    WITH
        100.0        AS shares,
        100.0        AS contract_multiplier,
        90.0         AS put_strike,
        110.0        AS call_strike,
        0.25         AS vol,
        0.04         AS rate,
        30.0 / 365.0 AS years
    SELECT
        spot,
        concat('$', toString(toUInt16(spot)))                                              AS spot_price,
        (log(spot / put_strike)  + (rate + 0.5 * vol * vol) * years) / (vol * sqrt(years)) AS d1_put,
        (log(spot / call_strike) + (rate + 0.5 * vol * vol) * years) / (vol * sqrt(years)) AS d1_call,
        0.5 * (1 + erf(d1_put  / sqrt(2)))                                                 AS nd1_put,
        0.5 * (1 + erf(d1_call / sqrt(2)))                                                 AS nd1_call,
        toInt32(shares)                                                                    AS stock_delta,
        round(contract_multiplier * (nd1_put - 1), 1)                                      AS long_put_delta,
        round(-contract_multiplier * nd1_call, 1)                                          AS short_call_delta,
        round(shares + contract_multiplier * (nd1_put - 1) - contract_multiplier * nd1_call, 1) AS net_delta
    FROM
    (
        SELECT arrayJoin([85.0, 90.0, 100.0, 110.0, 118.0]) AS spot
    )
)
ORDER BY spot

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