A near-the-money SPY call and put: delta across the June 18 ex-dividend date

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 2026-07-17, from How Ex-Dividend Dates Affect Options.

Rows × columns

9 × 3

Period covered

2026-06-11 to 2026-06-24

Computed

2026-07-17

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

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 2026-07-17, and the query below is what returned them.

SELECT date,
    round(anyIf(delta, position(ticker, 'C00740') > 0), 3) AS call_delta,
    round(anyIf(delta, position(ticker, 'P00740') > 0), 3) AS put_delta
FROM global_markets.options_greeks
WHERE ticker IN ('O:SPY260717C00740000', 'O:SPY260717P00740000')
  AND date BETWEEN '2026-06-11' AND '2026-06-24'
  AND implied_volatility > 0.02
GROUP BY date
ORDER BY date