Return on collateral for each side, by contract price

Name: Return on collateral for each side, by contract price
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 Event Contract Collateral and Max Loss.

as of 2026-08-22 ranking 13×4read in context →

Return on collateral for each side, by contract price — 13 rows by 4 columns, computed 2026-08-22 from US exchange, SIP and OPRA data.
price_cents	buyer_return_on_collateral_pct	seller_return_on_collateral_pct	breakeven_probability_pct
20	400	25	20
25	300	33.3	25
30	233.3	42.9	30
35	185.7	53.8	35
40	150	66.7	40
45	122.2	81.8	45
50	100	100	50
55	81.8	122.2	55
60	66.7	150	60
65	53.8	185.7	65
70	42.9	233.3	70
75	33.3	300	75
80	25	400	80

Rows × columns: 13 × 4
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 Return on collateral for each side, by contract price, derived from the stored result.
Column	Type	Range	Notes
`price_cents`	number	20 to 80	US dollars
`buyer_return_on_collateral_pct`	number	25 to 400	percent
`seller_return_on_collateral_pct`	number	25 to 400	percent
`breakeven_probability_pct`	number	20 to 80	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
    price_cents,
    round(100 * (100 - price_cents) / price_cents, 1) AS buyer_return_on_collateral_pct,
    round(100 * price_cents / (100 - price_cents), 1) AS seller_return_on_collateral_pct,
    price_cents                                       AS breakeven_probability_pct
FROM
(
    SELECT arrayJoin(range(20, 85, 5)) AS price_cents
)
ORDER BY price_cents

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