{"slug":"deep-itm-leaps","qid":"delta_trace","label":"The LEAPS call's delta climbing toward 1 as it goes deep in the money","post_title":"Deep ITM LEAPS: Stock Replacement","post_url":"/blog/deep-itm-leaps#q-delta_trace","columns":["week","delta"],"rows":[{"week":"2025-06-02","delta":0.586},{"week":"2025-06-09","delta":0.61},{"week":"2025-06-16","delta":0.589},{"week":"2025-06-23","delta":0.648},{"week":"2025-06-30","delta":0.701},{"week":"2025-07-07","delta":0.71},{"week":"2025-07-14","delta":0.717},{"week":"2025-07-21","delta":0.762},{"week":"2025-07-28","delta":0.756},{"week":"2025-08-04","delta":0.763},{"week":"2025-08-11","delta":0.797},{"week":"2025-08-18","delta":0.795},{"week":"2025-08-25","delta":0.811},{"week":"2025-09-01","delta":0.817},{"week":"2025-09-08","delta":0.844},{"week":"2025-09-15","delta":0.867},{"week":"2025-09-22","delta":0.843},{"week":"2025-09-29","delta":0.86},{"week":"2025-10-06","delta":0.862},{"week":"2025-10-13","delta":0.845},{"week":"2025-10-20","delta":0.879},{"week":"2025-10-27","delta":0.93},{"week":"2025-11-03","delta":0.914},{"week":"2025-11-10","delta":0.913},{"week":"2025-11-17","delta":0.854},{"week":"2025-11-24","delta":0.927},{"week":"2025-12-01","delta":0.947},{"week":"2025-12-08","delta":0.948},{"week":"2025-12-15","delta":0.94},{"week":"2025-12-22","delta":0.956},{"week":"2025-12-29","delta":0.949},{"week":"2026-01-05","delta":0.969},{"week":"2026-01-12","delta":0.962}],"shape":"series","sql":"SELECT toStartOfWeek(date, 1) AS week,\n       round(avg(delta), 3) AS delta\nFROM global_markets.options_greeks\nWHERE ticker = 'O:SPY260116C00600000' AND date BETWEEN '2025-06-02' AND '2026-01-13' AND implied_volatility > 0.02\nGROUP BY week ORDER BY week","computed_at":"2026-07-16T10:03:48.777482+00:00","elapsed":0.001884434}