Extrinsic value in KO's in-the-money calls versus the dividend, in the week before each ex date

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
    toString(ex_date)                                        AS ex_dividend_date,
    formatDateTime(ex_date, '%b %e, %Y')                     AS ex_date_pretty,
    round(any(dividend), 2)                                  AS dividend_usd,
    round(quantileDeterministic(0.5)(extrinsic, row_key), 2) AS median_extrinsic_usd,
    round(100 * countIf(extrinsic < dividend) / count(), 1)  AS pct_under_dividend
FROM
(
    WITH
    (
        SELECT groupArray((ex_dividend_date, toFloat64(cash_amount)))
        FROM
        (
            SELECT
                ex_dividend_date,
                max(cash_amount) AS cash_amount
            FROM global_markets.stocks_dividends
            WHERE ticker = 'KO'
              AND ex_dividend_date >= '2024-01-01'
              AND ex_dividend_date <  '2026-10-01'
            GROUP BY ex_dividend_date
            ORDER BY ex_dividend_date
        )
    ) AS ex_schedule
    SELECT
        date                                                                                   AS session_date,
        greatest(arrayFirstIndex(x -> tupleElement(x, 1) > date, ex_schedule), 1)              AS idx,
        tupleElement(ex_schedule[idx], 1)                                                      AS ex_date,
        tupleElement(ex_schedule[idx], 2)                                                      AS dividend,
        toFloat64(option_close) - (toFloat64(underlying_close) - toFloat64(strike_price))      AS extrinsic,
        cityHash64(ticker)                                                                     AS row_key
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'KO'
      AND upper(toString(option_type)) IN ('C', 'CALL')
      AND volume > 0
      AND date >= '2024-01-01'
      AND date <  '2026-10-01'
      AND days_to_expiry BETWEEN 1 AND 60
      AND toFloat64(strike_price) < toFloat64(underlying_close)
)
WHERE dateDiff('day', session_date, ex_date) BETWEEN 1 AND 7
GROUP BY ex_date
ORDER BY ex_date