The $740 call's greeks, day by day (delta, gamma, theta, vega, IV%)

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 2026-07-16, from How Option Greeks Change Over Time.

Rows × columns

31 × 7

Period covered

2026-05-01 to 2026-06-15

Computed

2026-07-16

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

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 2026-07-16, and the query below is what returned them.

SELECT date,
       formatDateTime(date, '%b %e') AS date_label,
       round(avg(delta), 3) AS delta,
       round(avg(gamma), 4) AS gamma,
       round(avg(theta), 3) AS theta,
       round(avg(vega), 3) AS vega,
       round(avg(implied_volatility) * 100, 1) AS iv_pct
FROM global_markets.options_greeks
WHERE ticker = 'O:SPY260618C00740000' AND date BETWEEN '2026-05-01' AND '2026-06-15' AND implied_volatility > 0.02
GROUP BY date
ORDER BY date