STRASMORE/EXPLORE 2,170 QUERIES

Time value as a share of premium, and daily theta, month by month

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 2026-07-16, from Deep ITM LEAPS: Stock Replacement.

as of series 8×3read in context →
Time value as a share of premium, and daily theta, month by month — 8 rows by 3 columns, computed from US exchange, SIP and OPRA data.
monthextrinsic_pcttheta
2025-06-0192.7-0.106
2025-07-0149.1-0.116
2025-08-0134-0.119
2025-09-0120.3-0.124
2025-10-0113.5-0.136
2025-11-019.5-0.148
2025-12-013.6-0.171
2026-01-011.3-0.441
Rows × columns
8 × 3
Period covered
to
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 Time value as a share of premium, and daily theta, month by month, derived from the stored result.
ColumnTypeRangeNotes
month date 2025-06-01 to 2026-01-01
extrinsic_pct number 1.3 to 92.7 percent
theta number -0.441 to -0.106

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 toStartOfMonth(date) AS month,
       round(avg((option_close - greatest(underlying_close - 600, 0)) / option_close) * 100, 1) AS extrinsic_pct,
       round(avg(theta), 3) AS theta
FROM global_markets.options_greeks
WHERE ticker = 'O:SPY260116C00600000' AND date BETWEEN '2025-06-02' AND '2026-01-13' AND implied_volatility > 0.02
GROUP BY month ORDER BY month

Run your own version of this

The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.

More from this analysisDeep ITM LEAPS: Stock Replacement
SPY vs the LEAPS call, both indexed to 100 in early June 2025 series 33×3 → The LEAPS call's delta climbing toward 1 as it goes deep in the money series 33×2 → One deep-ITM LEAPS vs 100 shares: cost, leverage, and delta series 3×7 → One SPY $600 LEAPS call's price over two years (expired Jan 16 2026) series 470×2 → SPY, the call's delta, and its implied volatility at four life stages series 4×4 → Theta (daily decay) against days to expiry, across the call's life series 4×3 → See all 2,170 queries →