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Profit and loss at expiration: the debit structure against the credit structure

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 2026-08-07, from Credit Spread vs Debit Spread: Same Trade?.

as of ranking 8×4read in context →
Profit and loss at expiration: the debit structure against the credit structure — 8 rows by 4 columns, computed from US exchange, SIP and OPRA data.
price_at_expirydebit_structure_plcredit_structure_plpl_gap
$275-2.6-2.09-0.51
$280-2.6-2.09-0.51
$285-2.6-2.09-0.51
$290-2.6-2.09-0.51
$2952.42.91-0.51
$3002.42.91-0.51
$3152.42.91-0.51
$3202.42.91-0.51
Rows × columns
8 × 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 Profit and loss at expiration: the debit structure against the credit structure, derived from the stored result.
ColumnTypeRangeNotes
price_at_expiry text 8 distinct values ($275, $280, $285…)
debit_structure_pl number -2.6 to 2.4
credit_structure_pl number -2.09 to 2.91
pl_gap number every row is -0.51

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 
WITH chain AS
(
    SELECT
        toFloat64(strike_price)                                                  AS strike,
        any(toFloat64(underlying_close))                                         AS spot,
        avgIf(toFloat64(option_close), lower(option_type) IN ('call', 'c'))      AS call_px,
        avgIf(toFloat64(option_close), lower(option_type) IN ('put', 'p'))       AS put_px
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'AAPL'
      AND date = '2026-06-12'
      AND expiration_date = '2026-07-17'
      AND volume >= 50
      AND toFloat64(strike_price) = round(toFloat64(strike_price) / 5) * 5
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.12
    GROUP BY strike
    HAVING countIf(lower(option_type) IN ('call', 'c')) > 0
       AND countIf(lower(option_type) IN ('put', 'p')) > 0
)
SELECT
    concat('$', toString(px.strike))                                             AS price_at_expiry,
    round(least(greatest(px.strike - lo.strike, 0.0), hi.strike - lo.strike)
        - (lo.call_px - hi.call_px), 2)                                          AS debit_structure_pl,
    round((hi.put_px - lo.put_px)
        - least(greatest(hi.strike - px.strike, 0.0), hi.strike - lo.strike), 2) AS credit_structure_pl,
    round(least(greatest(px.strike - lo.strike, 0.0), hi.strike - lo.strike)
        - (lo.call_px - hi.call_px)
        - (hi.put_px - lo.put_px)
        + least(greatest(hi.strike - px.strike, 0.0), hi.strike - lo.strike), 2) AS pl_gap
FROM chain AS px
INNER JOIN chain AS lo ON lo.strike = floor(px.spot / 5) * 5
INNER JOIN chain AS hi ON hi.strike = lo.strike + 5
ORDER BY px.strike

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