delta_ladder

Name: delta_ladder
Creator: Strasmore
Published: 2026-09-23
License: https://www.strasmore.com/terms/

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 2026-09-23, from covered-call-screener-from-the-free-sql-api.

as of 2026-09-23 table 6×5read in context →

delta_ladder — 6 rows by 5 columns, computed 2026-09-23 from US exchange, SIP and OPRA data.
delta_band	contracts	avg_otm_pct	avg_annual_yield_pct	avg_iv_pct
delta 0.05-0.10	170	12.53	2.7	25.2
delta 0.10-0.20	177	8.81	6.1	24.5
delta 0.20-0.30	122	5.69	11.8	24.3
delta 0.30-0.40	101	3.5	18.7	24.3
delta 0.40-0.50	95	1.53	27.1	24.4
delta 0.50-0.65	23	0.28	34.2	25

Rows × columns: 6 × 5
Computed: 2026-09-23
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 delta_ladder, derived from the stored result.
Column	Type	Range	Notes
`delta_band`	text	6 distinct values
`contracts`	number	23 to 177	count
`avg_otm_pct`	number	0.28 to 12.53	percent
`avg_annual_yield_pct`	number	2.7 to 34.2	percent
`avg_iv_pct`	number	24.3 to 25.2	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 2026-09-23, 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.

SELECT
    multiIf(delta < 0.10, 'delta 0.05-0.10',
            delta < 0.20, 'delta 0.10-0.20',
            delta < 0.30, 'delta 0.20-0.30',
            delta < 0.40, 'delta 0.30-0.40',
            delta < 0.50, 'delta 0.40-0.50',
                          'delta 0.50-0.65')                                           AS delta_band,
    count()                                                                            AS contracts,
    round(avg(toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 100, 2)      AS avg_otm_pct,
    round(avg(toFloat64(option_close) / toFloat64(underlying_close)
              * 365.0 / days_to_expiry) * 100, 1)                                      AS avg_annual_yield_pct,
    round(avg(implied_volatility) * 100, 1)                                            AS avg_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
  AND date >= '2026-08-01'
  AND date <  '2026-09-01'
  AND iv_converged = 1
  AND volume > 0
  AND days_to_expiry BETWEEN 20 AND 45
  AND delta BETWEEN 0.05 AND 0.65
  AND strike_price > underlying_close
GROUP BY delta_band
ORDER BY min(delta)

SQL to run

SELECT
    multiIf(delta < 0.10, 'delta 0.05-0.10',
            delta < 0.20, 'delta 0.10-0.20',
            delta < 0.30, 'delta 0.20-0.30',
            delta < 0.40, 'delta 0.30-0.40',
            delta < 0.50, 'delta 0.40-0.50',
                          'delta 0.50-0.65')                                           AS delta_band,
    count()                                                                            AS contracts,
    round(avg(toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 100, 2)      AS avg_otm_pct,
    round(avg(toFloat64(option_close) / toFloat64(underlying_close)
              * 365.0 / days_to_expiry) * 100, 1)                                      AS avg_annual_yield_pct,
    round(avg(implied_volatility) * 100, 1)                                            AS avg_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
  AND date >= '2026-08-01'
  AND date <  '2026-09-01'
  AND iv_converged = 1
  AND volume > 0
  AND days_to_expiry BETWEEN 20 AND 45
  AND delta BETWEEN 0.05 AND 0.65
  AND strike_price > underlying_close
GROUP BY delta_band
ORDER BY min(delta)

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