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.
| strike_vs_spot | avg_traded_price | avg_intrinsic_value |
|---|---|---|
| 3% ITM | 20.75 | 19.26 |
| 2.5% ITM | 17.43 | 15.79 |
| 2% ITM | 13.65 | 12.34 |
| 1.5% ITM | 10.04 | 8.72 |
| 1% ITM | 6.64 | 5.18 |
| 0.5% ITM | 3.83 | 1.77 |
| at the money | 1.74 | 0 |
| 0.5% OTM | 0.65 | 0 |
| 1% OTM | 0.22 | 0 |
| 1.5% OTM | 0.08 | 0 |
| 2% OTM | 0.04 | 0 |
| 2.5% OTM | 0.02 | 0 |
- Rows × columns
- 12 × 3
- 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 |
|---|---|---|---|
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.
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(
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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