Day before SPY's ex-date: time value left in deep-in-the-money calls, by days to expiry
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.
| days_to_expiry | contracts | median_time_value | pct_below_dividend |
|---|---|---|---|
| 3 to 9 days | 36 | 3.89 | 14 |
| 10 to 16 days | 79 | 4.35 | 11 |
| 17 to 45 days | 110 | 5.92 | 0 |
- Rows × columns
- 3 × 4
- 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 |
|---|---|---|---|
days_to_expiry |
text | 3 distinct values | |
contracts |
number | 36 to 110 | count |
median_time_value |
number | 3.89 to 5.92 | |
pct_below_dividend |
number | 0 to 14 | 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 , 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
multiIf(dte <= 9, '3 to 9 days', dte <= 16, '10 to 16 days', '17 to 45 days') AS days_to_expiry,
count() AS contracts,
round(median(time_value), 2) AS median_time_value,
round(100.0 * countIf(time_value < 1.904) / count(), 0) AS pct_below_dividend
FROM (
SELECT option_close - greatest(underlying_close - strike_price, 0) AS time_value,
(expiration_date - toDate('2026-06-17')) AS dte
FROM global_markets.options_greeks
WHERE date = '2026-06-17'
AND option_type = 'C'
AND underlying_symbol = 'SPY'
AND underlying_close - strike_price >= 25
AND expiration_date > toDate('2026-06-17')
AND expiration_date <= toDate('2026-08-01')
AND implied_volatility > 0.02
)
GROUP BY days_to_expiry
ORDER BY min(dte)
Work with this data in your AI assistant
Opens ready to query, with this page's data. Free, no account.