put_cost_curve

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.

WITH puts AS
(
    SELECT
        days_to_expiry                                       AS dte,
        toFloat64(strike_price) / toFloat64(underlying_close) AS moneyness,
        toFloat64(option_close) / toFloat64(underlying_close) AS premium_share
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND lower(toString(option_type)) LIKE 'p%'
      AND days_to_expiry BETWEEN 20 AND 60
      AND underlying_close > 0
      AND option_close > 0
      AND date >= (SELECT max(date) - 180 FROM global_markets.options_greeks WHERE underlying_symbol = 'SPY')
      AND date <= (SELECT max(date) FROM global_markets.options_greeks WHERE underlying_symbol = 'SPY')
)
SELECT
    strike_distance,
    round(100 * avg(premium_share), 2)                  AS premium_pct_of_notional,
    round(100 * avg(premium_share) * 365 / avg(dte), 1) AS annualised_pct
FROM
(
    SELECT
        premium_share,
        dte,
        moneyness,
        multiIf(moneyness >= 0.98, 'within 2% of spot',
                moneyness >= 0.95, '2% to 5% below spot',
                moneyness >= 0.90, '5% to 10% below spot',
                '10% to 20% below spot')                AS strike_distance
    FROM puts
    WHERE moneyness >= 0.80
      AND moneyness <  1.00
)
GROUP BY strike_distance
HAVING count() > 5
ORDER BY avg(moneyness) DESC