The LEAPS call's delta climbing toward 1 as it goes deep in the money

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.

Rows × columns

33 × 2

Period covered

2025-06-02 to 2026-01-12

Computed

2026-07-16

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

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 2026-07-16, and the query below is what returned them.

SELECT toStartOfWeek(date, 1) AS week,
       round(avg(delta), 3) AS delta
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 week ORDER BY week