The same screen replayed monthly, and how the selected calls finished

Name: The same screen replayed monthly, and how the selected calls finished
Creator: Strasmore
Published: 2026-09-26
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 2026-09-26, from Covered Call Screener: Build One in SQL.

as of 2026-09-26 series 11×5read in context →

The same screen replayed monthly, and how the selected calls finished — 11 rows by 5 columns, computed 2026-09-26 from US exchange, SIP and OPRA data.
month	calls_screened	avg_annual_yield_pct	itm_rate_all_pct	itm_rate_richest_pct
2025-09	34	12.5	52.9	42.9
2025-10	28	17.9	42.9	83.3
2025-11	27	18.4	3.7	0
2025-12	30	15	10	16.7
2026-01	27	15.3	14.8	20
2026-02	18	20	0	0
2026-03	35	15.8	5.7	14.3
2026-04	52	15.8	92.3	100
2026-05	38	17	57.9	100
2026-06	29	17.8	3.4	0
2026-07	22	20.8	40.9	0

Rows × columns: 11 × 5
Computed: 2026-09-26
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 The same screen replayed monthly, and how the selected calls finished, derived from the stored result.
Column	Type	Range	Notes
`month`	text	11 distinct values (2025-09, 2025-10, 2025-11…)
`calls_screened`	number	18 to 52
`avg_annual_yield_pct`	number	12.5 to 20.8	percent
`itm_rate_all_pct`	number	0 to 92.3	percent
`itm_rate_richest_pct`	number	0 to 100	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 2026-09-26, 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.

WITH
    selection_days AS
    (
        SELECT min(date) AS session_date
        FROM global_markets.options_greeks
        WHERE date >= '2025-09-01' AND date < '2026-08-01'
        GROUP BY toStartOfMonth(date)
    ),
    picks AS
    (
        SELECT
            formatDateTime(date, '%Y-%m')      AS month,
            underlying_symbol                  AS symbol,
            expiration_date                    AS expiry,
            toFloat64(strike_price)            AS strike,
            toFloat64(option_close) / toFloat64(underlying_close)
                * 365.0 / days_to_expiry * 100 AS annual_yield_pct
        FROM global_markets.options_greeks
        WHERE date >= '2025-09-01'
          AND date <  '2026-08-01'
          AND date IN (SELECT session_date FROM selection_days)
          AND underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'AMD', 'KO', 'JNJ', 'XOM', 'SPY')
          AND iv_converged = 1
          AND volume >= 100
          AND days_to_expiry BETWEEN 20 AND 45
          AND delta BETWEEN 0.25 AND 0.35
          AND toFloat64(strike_price) / toFloat64(underlying_close) - 1 BETWEEN 0.02 AND 0.12
          AND option_close >= 0.30
          AND expiration_date <= '2026-09-19'
    ),
    rich_line AS
    (
        SELECT
            month,
            avg(annual_yield_pct) * 1.5 AS cutoff
        FROM picks
        GROUP BY month
    )
SELECT
    p.month                                                          AS month,
    count()                                                          AS calls_screened,
    round(avg(p.annual_yield_pct), 1)                                AS avg_annual_yield_pct,
    round(countIf(toFloat64(u.close) > p.strike) / count() * 100, 1) AS itm_rate_all_pct,
    round(countIf(toFloat64(u.close) > p.strike AND p.annual_yield_pct >= r.cutoff)
          / countIf(p.annual_yield_pct >= r.cutoff) * 100, 1)        AS itm_rate_richest_pct
FROM picks AS p
INNER JOIN
(
    SELECT ticker, date, close
    FROM global_markets.stocks_daily_aggs
    WHERE date >= '2025-09-15'
      AND date <= '2026-09-19'
      AND ticker IN ('AAPL', 'MSFT', 'NVDA', 'AMD', 'KO', 'JNJ', 'XOM', 'SPY')
) AS u ON u.ticker = p.symbol AND u.date = p.expiry
INNER JOIN rich_line AS r ON r.month = p.month
GROUP BY p.month
HAVING countIf(p.annual_yield_pct >= r.cutoff) > 0
ORDER BY p.month

SQL to run

WITH
    selection_days AS
    (
        SELECT min(date) AS session_date
        FROM global_markets.options_greeks
        WHERE date >= '2025-09-01' AND date < '2026-08-01'
        GROUP BY toStartOfMonth(date)
    ),
    picks AS
    (
        SELECT
            formatDateTime(date, '%Y-%m')      AS month,
            underlying_symbol                  AS symbol,
            expiration_date                    AS expiry,
            toFloat64(strike_price)            AS strike,
            toFloat64(option_close) / toFloat64(underlying_close)
                * 365.0 / days_to_expiry * 100 AS annual_yield_pct
        FROM global_markets.options_greeks
        WHERE date >= '2025-09-01'
          AND date <  '2026-08-01'
          AND date IN (SELECT session_date FROM selection_days)
          AND underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'AMD', 'KO', 'JNJ', 'XOM', 'SPY')
          AND iv_converged = 1
          AND volume >= 100
          AND days_to_expiry BETWEEN 20 AND 45
          AND delta BETWEEN 0.25 AND 0.35
          AND toFloat64(strike_price) / toFloat64(underlying_close) - 1 BETWEEN 0.02 AND 0.12
          AND option_close >= 0.30
          AND expiration_date <= '2026-09-19'
    ),
    rich_line AS
    (
        SELECT
            month,
            avg(annual_yield_pct) * 1.5 AS cutoff
        FROM picks
        GROUP BY month
    )
SELECT
    p.month                                                          AS month,
    count()                                                          AS calls_screened,
    round(avg(p.annual_yield_pct), 1)                                AS avg_annual_yield_pct,
    round(countIf(toFloat64(u.close) > p.strike) / count() * 100, 1) AS itm_rate_all_pct,
    round(countIf(toFloat64(u.close) > p.strike AND p.annual_yield_pct >= r.cutoff)
          / countIf(p.annual_yield_pct >= r.cutoff) * 100, 1)        AS itm_rate_richest_pct
FROM picks AS p
INNER JOIN
(
    SELECT ticker, date, close
    FROM global_markets.stocks_daily_aggs
    WHERE date >= '2025-09-15'
      AND date <= '2026-09-19'
      AND ticker IN ('AAPL', 'MSFT', 'NVDA', 'AMD', 'KO', 'JNJ', 'XOM', 'SPY')
) AS u ON u.ticker = p.symbol AND u.date = p.expiry
INNER JOIN rich_line AS r ON r.month = p.month
GROUP BY p.month
HAVING countIf(p.annual_yield_pct >= r.cutoff) > 0
ORDER BY p.month

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