delta_curve
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 2026-09-30, from event-contracts-vs-stock-options.
| moneyness | avg_call_delta |
|---|---|
| -10% to -8% | 0.89 |
| -8% to -6% | 0.869 |
| -6% to -4% | 0.842 |
| -4% to -2% | 0.768 |
| -2% to 0% | 0.631 |
| 0% to 2% | 0.438 |
| 2% to 4% | 0.243 |
| 4% to 6% | 0.125 |
| 6% to 8% | 0.083 |
| 8% to 10% | 0.081 |
- Rows × columns
- 10 × 2
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
moneyness |
text | 10 distinct values (-10% to -8%, -2% to 0%, -4% to -2%…) | |
avg_call_delta |
number | 0.081 to 0.89 |
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.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
SELECT
concat(toString(bucket_low), '% to ', toString(bucket_low + 2), '%') AS moneyness,
round(avg(call_delta), 3) AS avg_call_delta
FROM
(
SELECT
toInt32(floor((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 50) * 2) AS bucket_low,
delta AS call_delta
FROM global_markets.options_greeks
WHERE date >= today() - 30
AND underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'SPY')
AND lower(option_type) LIKE 'c%'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 20 AND 45
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.10
)
GROUP BY bucket_low
ORDER BY bucket_low
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