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Net collar gamma, theta and vega across the price range

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 ranking 5×4read in context →
Net collar gamma, theta and vega across the price range — 5 rows by 4 columns, computed from US exchange, SIP and OPRA data.
spot_pricenet_gammanet_thetanet_vega
$855.05-2.367.5
$906.01-3.6810
$100-0.880.94-1.82
$110-4.965.75-12.34
$118-2.684.21-7.68
Rows × columns
5 × 4
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 Net collar gamma, theta and vega across the price range, derived from the stored result.
ColumnTypeRangeNotes
spot_price text 5 distinct values ($100, $110, $118…)
net_gamma number -4.96 to 6.01
net_theta number -3.68 to 5.75
net_vega number -12.34 to 10

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,
    net_gamma,
    net_theta,
    net_vega
FROM
(
    WITH
        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,
        d1_put  - vol * sqrt(years)                                                        AS d2_put,
        d1_call - vol * sqrt(years)                                                        AS d2_call,
        exp(-0.5 * d1_put  * d1_put)  / sqrt(2 * pi())                                     AS pdf_put,
        exp(-0.5 * d1_call * d1_call) / sqrt(2 * pi())                                     AS pdf_call,
        0.5 * (1 + erf(-d2_put  / sqrt(2)))                                                AS nd2_put_below,
        0.5 * (1 + erf( d2_call / sqrt(2)))                                                AS nd2_call_above,
        pdf_put  / (spot * vol * sqrt(years))                                              AS gamma_put,
        pdf_call / (spot * vol * sqrt(years))                                              AS gamma_call,
        (-(spot * pdf_put  * vol) / (2 * sqrt(years)) + rate * put_strike  * exp(-rate * years) * nd2_put_below)  / 365 AS theta_put_day,
        (-(spot * pdf_call * vol) / (2 * sqrt(years)) - rate * call_strike * exp(-rate * years) * nd2_call_above) / 365 AS theta_call_day,
        spot * pdf_put  * sqrt(years) / 100                                                AS vega_put_point,
        spot * pdf_call * sqrt(years) / 100                                                AS vega_call_point,
        round(contract_multiplier * (gamma_put - gamma_call), 2)                           AS net_gamma,
        round(contract_multiplier * (theta_put_day - theta_call_day), 2)                   AS net_theta,
        round(contract_multiplier * (vega_put_point - vega_call_point), 2)                 AS net_vega
    FROM
    (
        SELECT arrayJoin([85.0, 90.0, 100.0, 110.0, 118.0]) AS spot
    )
)
ORDER BY spot

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