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Final-day call prices by where the strike sat against the price

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 2026-08-09, from How Event Contracts Settle: Payout and Fees.

as of ranking 12×3read in context →
Final-day call prices by where the strike sat against the price — 12 rows by 3 columns, computed from US exchange, SIP and OPRA data.
strike_vs_spotavg_traded_priceavg_intrinsic_value
3% ITM20.7519.26
2.5% ITM17.4315.79
2% ITM13.6512.34
1.5% ITM10.048.72
1% ITM6.645.18
0.5% ITM3.831.77
at the money1.740
0.5% OTM0.650
1% OTM0.220
1.5% OTM0.080
2% OTM0.040
2.5% OTM0.020
Rows × columns
12 × 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 Final-day call prices by where the strike sat against the price, derived from the stored result.
ColumnTypeRangeNotes
strike_vs_spot text 12 distinct values (0.5% ITM, 0.5% OTM, 1% ITM…)
avg_traded_price number 0.02 to 20.75 US dollars
avg_intrinsic_value number 0 to 19.26

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
    multiIf(
        bucket < 0, concat(toString(abs(round(100 * bucket, 1))), '% ITM'),
        bucket = 0, 'at the money',
        concat(toString(round(100 * bucket, 1)), '% OTM')) AS strike_vs_spot,
    round(avg(price), 2)      AS avg_traded_price,
    round(avg(payoff_now), 2) AS avg_intrinsic_value
FROM
(
    SELECT
        floor((toFloat64(strike_price) / toFloat64(underlying_close) - 1) / 0.005) * 0.005 AS bucket,
        toFloat64(option_close) AS price,
        greatest(toFloat64(underlying_close) - toFloat64(strike_price), 0.0) AS payoff_now
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND option_type IN ('call', 'C')
      AND date >= '2026-01-02'
      AND date <  '2026-07-01'
      AND volume > 0
      AND iv_converged = 1
      AND days_to_expiry <= 1
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.03
)
GROUP BY bucket
ORDER BY bucket

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