Single-stock bucket vs ETF bucket, session by session

Name: Single-stock bucket vs ETF bucket, session by session
Creator: Strasmore
Published: 2026-08-22
License: https://www.strasmore.com/terms/

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 2026-08-22, from Equity vs Index Put/Call Ratio: What's High?.

as of 2026-08-22 series 33×6read in context →

Single-stock bucket vs ETF bucket, session by session — 33 rows by 6 columns, computed 2026-08-22 from US exchange, SIP and OPRA data.
session_date	session_label	equity_ratio	index_style_ratio	ratio_gap	etf_share_of_calls_pct
2026-07-06	Jul 6	0.47	1.19	0.72	48.9
2026-07-07	Jul 7	0.65	1.17	0.52	43.5
2026-07-08	Jul 8	0.5	1.55	1.05	47.1
2026-07-09	Jul 9	0.44	1.23	0.79	37
2026-07-10	Jul 10	0.49	1.33	0.84	41.1
2026-07-13	Jul 13	0.53	1.57	1.04	49
2026-07-14	Jul 14	0.52	1.36	0.84	37.9
2026-07-15	Jul 15	0.46	1.33	0.87	47.5
2026-07-16	Jul 16	0.58	1.38	0.8	41.1
2026-07-17	Jul 17	0.7	1.64	0.94	54.2
2026-07-20	Jul 20	0.57	1.52	0.95	54.3
2026-07-21	Jul 21	0.54	1.59	1.05	42.1
2026-07-22	Jul 22	0.5	1.57	1.07	42.4
2026-07-23	Jul 23	0.63	1.58	0.95	40.9
2026-07-24	Jul 24	0.68	1.51	0.83	49.6
2026-07-27	Jul 27	0.62	1.49	0.87	51.4
2026-07-28	Jul 28	0.69	1.29	0.6	46.8
2026-07-29	Jul 29	0.66	1.58	0.92	60.2
2026-07-30	Jul 30	0.58	1.46	0.88	38.5
2026-07-31	Jul 31	0.54	2.04	1.5	40.2
2026-08-03	Aug 3	0.53	1.48	0.95	50.4
2026-08-04	Aug 4	0.45	1.07	0.62	53.6
2026-08-05	Aug 5	0.54	1.3	0.76	49.1
2026-08-06	Aug 6	0.52	1.25	0.73	39.4
2026-08-07	Aug 7	0.56	1.11	0.55	53.3
2026-08-10	Aug 10	0.51	1.31	0.8	48.6
2026-08-11	Aug 11	0.6	1.23	0.63	41.7
2026-08-12	Aug 12	0.55	1.34	0.79	49.5
2026-08-13	Aug 13	0.51	1.26	0.75	44.6
2026-08-14	Aug 14	0.59	1.29	0.7	46.8
2026-08-17	Aug 17	0.53	1.47	0.94	46.8
2026-08-18	Aug 18	0.58	1.63	1.05	41.9
2026-08-19	Aug 19	0.44	1.28	0.84	44.5

Rows × columns: 33 × 6
Period covered: 2026-07-06 to 2026-08-19
Computed: 2026-08-22
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 Single-stock bucket vs ETF bucket, session by session, derived from the stored result.
Column	Type	Range	Notes
`session_date`	date	2026-07-06 to 2026-08-19
`session_label`	text	33 distinct values (Aug 10, Aug 11, Aug 12…)
`equity_ratio`	number	0.44 to 0.7	ratio or rate
`index_style_ratio`	number	1.07 to 2.04	ratio or rate
`ratio_gap`	number	0.52 to 1.5	ratio or rate
`etf_share_of_calls_pct`	number	37 to 60.2	percent

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 2026-08-22, and the query below is what returned them.

the exact SQL behind every number

SELECT
    toString(date)                 AS session_date,
    formatDateTime(date, '%b %e')  AS session_label,
    round(sumIf(volume, startsWith(lower(option_type), 'p') AND underlying_symbol NOT IN ('SPY', 'QQQ', 'IWM', 'DIA'))
          / sumIf(volume, startsWith(lower(option_type), 'c') AND underlying_symbol NOT IN ('SPY', 'QQQ', 'IWM', 'DIA')), 2) AS equity_ratio,
    round(sumIf(volume, startsWith(lower(option_type), 'p') AND underlying_symbol IN ('SPY', 'QQQ', 'IWM', 'DIA'))
          / sumIf(volume, startsWith(lower(option_type), 'c') AND underlying_symbol IN ('SPY', 'QQQ', 'IWM', 'DIA')), 2) AS index_style_ratio,
    round(index_style_ratio - equity_ratio, 2)                                                                            AS ratio_gap,
    round(100 * sumIf(volume, startsWith(lower(option_type), 'c') AND underlying_symbol IN ('SPY', 'QQQ', 'IWM', 'DIA'))
          / sumIf(volume, startsWith(lower(option_type), 'c')), 1)                                                        AS etf_share_of_calls_pct
FROM global_markets.options_greeks
WHERE date >= (SELECT toDate(max(date))
               FROM global_markets.options_greeks
               WHERE volume > 0) - 45
  AND volume > 0
  AND underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'AMZN', 'TSLA', 'JPM', 'KO', 'JNJ',
                            'SPY', 'QQQ', 'IWM', 'DIA')
GROUP BY date
HAVING sumIf(volume, startsWith(lower(option_type), 'c') AND underlying_symbol IN ('SPY', 'QQQ', 'IWM', 'DIA')) > 0
   AND sumIf(volume, startsWith(lower(option_type), 'c') AND underlying_symbol NOT IN ('SPY', 'QQQ', 'IWM', 'DIA')) > 0
ORDER BY date

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