{"slug":"how-delta-hedging-works","qid":"delta_curve","label":"Average call and put delta by strike distance from spot (SPY, 25 to 35 days to expiry, June 2026)","post_title":"How Delta Hedging Actually Works","post_url":"/blog/how-delta-hedging-works#q-delta_curve","columns":["strike_vs_spot","call_delta","put_delta"],"rows":[{"strike_vs_spot":"-5%","call_delta":0.839,"put_delta":-0.164},{"strike_vs_spot":"-4%","call_delta":0.814,"put_delta":-0.193},{"strike_vs_spot":"-3%","call_delta":0.769,"put_delta":-0.242},{"strike_vs_spot":"-2%","call_delta":0.704,"put_delta":-0.303},{"strike_vs_spot":"-1%","call_delta":0.625,"put_delta":-0.376},{"strike_vs_spot":"+0%","call_delta":0.537,"put_delta":-0.463},{"strike_vs_spot":"+1%","call_delta":0.436,"put_delta":-0.559},{"strike_vs_spot":"+2%","call_delta":0.332,"put_delta":-0.651},{"strike_vs_spot":"+3%","call_delta":0.232,"put_delta":-0.748},{"strike_vs_spot":"+4%","call_delta":0.148,"put_delta":-0.822},{"strike_vs_spot":"+5%","call_delta":0.099,"put_delta":-0.864}],"shape":"ranking","sql":"SELECT\n    concat(if(pct_from_spot >= 0, '+', ''), toString(pct_from_spot), '%') AS strike_vs_spot,\n    round(avgIf(delta, is_call), 3) AS call_delta,\n    round(avgIf(delta, is_put), 3)  AS put_delta\nFROM\n(\n    SELECT\n        toInt16(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 100)) AS pct_from_spot,\n        lower(option_type) IN ('call', 'c') AS is_call,\n        lower(option_type) IN ('put', 'p')  AS is_put,\n        delta\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'SPY'\n      AND iv_converged = 1\n      AND volume > 0\n      AND underlying_close > 0\n      AND days_to_expiry BETWEEN 25 AND 35\n      AND date >= '2026-06-01'\n      AND date <  '2026-07-01'\n      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.05\n)\nGROUP BY pct_from_spot\nHAVING countIf(is_call) > 0 AND countIf(is_put) > 0\nORDER BY pct_from_spot","computed_at":"2026-08-16T14:39:45.347564+00:00","elapsed":0.004083254}