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Average call and put delta by strike distance from spot (SPY, 25 to 35 days to expiry, June 2026)

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 2026-08-16, from How Delta Hedging Actually Works.

as of ranking 11×3read in context →
Average call and put delta by strike distance from spot (SPY, 25 to 35 days to expiry, June 2026) — 11 rows by 3 columns, computed from US exchange, SIP and OPRA data.
strike_vs_spotcall_deltaput_delta
-5%0.839-0.164
-4%0.814-0.193
-3%0.769-0.242
-2%0.704-0.303
-1%0.625-0.376
+0%0.537-0.463
+1%0.436-0.559
+2%0.332-0.651
+3%0.232-0.748
+4%0.148-0.822
+5%0.099-0.864
Rows × columns
11 × 3
Computed
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 Average call and put delta by strike distance from spot (SPY, 25 to 35 days to expiry, June 2026), derived from the stored result.
ColumnTypeRangeNotes
strike_vs_spot text 11 distinct values (+0%, +1%, +2%…)
call_delta number 0.099 to 0.839
put_delta number -0.864 to -0.164

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.

the exact SQL behind every number 
SELECT
    concat(if(pct_from_spot >= 0, '+', ''), toString(pct_from_spot), '%') AS strike_vs_spot,
    round(avgIf(delta, is_call), 3) AS call_delta,
    round(avgIf(delta, is_put), 3)  AS put_delta
FROM
(
    SELECT
        toInt16(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 100)) AS pct_from_spot,
        lower(option_type) IN ('call', 'c') AS is_call,
        lower(option_type) IN ('put', 'p')  AS is_put,
        delta
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND iv_converged = 1
      AND volume > 0
      AND underlying_close > 0
      AND days_to_expiry BETWEEN 25 AND 35
      AND date >= '2026-06-01'
      AND date <  '2026-07-01'
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.05
)
GROUP BY pct_from_spot
HAVING countIf(is_call) > 0 AND countIf(is_put) > 0
ORDER BY pct_from_spot

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