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Net collar gamma at 90, 30 and 7 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 ranking 5×4read in context →
Net collar gamma at 90, 30 and 7 days to expiry — 5 rows by 4 columns, computed from US exchange, SIP and OPRA data.
spot_pricegamma_90dgamma_30dgamma_7d
$853.015.053.7
$902.336.0112.79
$100-0.67-0.88-0.19
$110-2.27-4.96-10.47
$118-1.94-2.68-1.15
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 at 90, 30 and 7 days to expiry, derived from the stored result.
ColumnTypeRangeNotes
spot_price text 5 distinct values ($100, $110, $118…)
gamma_90d number -2.27 to 3.01
gamma_30d number -4.96 to 6.01
gamma_7d number -10.47 to 12.79

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,
    round(maxIf(net_gamma, days_out = 90), 2) AS gamma_90d,
    round(maxIf(net_gamma, days_out = 30), 2) AS gamma_30d,
    round(maxIf(net_gamma, days_out = 7),  2) AS gamma_7d
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
    SELECT
        spot,
        days_out,
        concat('$', toString(toUInt16(spot)))                                              AS spot_price,
        days_out / 365.0                                                                   AS years,
        (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,
        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,
        contract_multiplier * (pdf_put - pdf_call) / (spot * vol * sqrt(years))            AS net_gamma
    FROM
    (
        SELECT
            spot,
            arrayJoin([7, 30, 90]) AS days_out
        FROM
        (
            SELECT arrayJoin([85.0, 90.0, 100.0, 110.0, 118.0]) AS spot
        )
    )
)
GROUP BY spot, spot_price
ORDER BY spot

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