{"slug":"event-contracts-vs-stock-options","qid":"delta_curve","label":"delta_curve","post_title":"event-contracts-vs-stock-options","post_url":"/blog/event-contracts-vs-stock-options#q-delta_curve","columns":["moneyness","avg_call_delta"],"rows":[{"moneyness":"-10% to -8%","avg_call_delta":0.89},{"moneyness":"-8% to -6%","avg_call_delta":0.869},{"moneyness":"-6% to -4%","avg_call_delta":0.842},{"moneyness":"-4% to -2%","avg_call_delta":0.768},{"moneyness":"-2% to 0%","avg_call_delta":0.631},{"moneyness":"0% to 2%","avg_call_delta":0.438},{"moneyness":"2% to 4%","avg_call_delta":0.243},{"moneyness":"4% to 6%","avg_call_delta":0.125},{"moneyness":"6% to 8%","avg_call_delta":0.083},{"moneyness":"8% to 10%","avg_call_delta":0.081}],"shape":"ranking","sql":"SELECT\n    concat(toString(bucket_low), '% to ', toString(bucket_low + 2), '%') AS moneyness,\n    round(avg(call_delta), 3)                                            AS avg_call_delta\nFROM\n(\n    SELECT\n        toInt32(floor((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 50) * 2) AS bucket_low,\n        delta                                                                                AS call_delta\n    FROM global_markets.options_greeks\n    WHERE date >= today() - 30\n      AND underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'SPY')\n      AND lower(option_type) LIKE 'c%'\n      AND iv_converged = 1\n      AND volume > 0\n      AND days_to_expiry BETWEEN 20 AND 45\n      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.10\n)\nGROUP BY bucket_low\nORDER BY bucket_low","computed_at":"2026-09-30T15:37:03.606260+00:00","elapsed":0.267587222}