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Quoted volatility and delta across strikes, AAPL calls with 20 to 45 days left

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 2026-08-17, from How Options Are Quoted in Volatility.

as of ranking 11×3read in context →
Quoted volatility and delta across strikes, AAPL calls with 20 to 45 days left — 11 rows by 3 columns, computed from US exchange, SIP and OPRA data.
strike_vs_spotquoted_vol_pcttypical_delta
-10%29.850.87
-8%28.80.85
-6%28.330.79
-4%26.990.73
-2%26.60.64
0%25.880.52
+2%25.710.42
+4%25.240.33
+6%25.010.24
+8%25.060.17
+10%24.620.12
Rows × columns
11 × 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 Quoted volatility and delta across strikes, AAPL calls with 20 to 45 days left, derived from the stored result.
ColumnTypeRangeNotes
strike_vs_spot text 11 distinct values (+10%, +2%, +4%…)
quoted_vol_pct number 24.62 to 29.85 percent
typical_delta number 0.12 to 0.87

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
    strike_vs_spot,
    round(100 * quantileDeterministic(0.5)(iv, obs_id), 2)       AS quoted_vol_pct,
    round(quantileDeterministic(0.5)(contract_delta, obs_id), 2) AS typical_delta
FROM
(
    SELECT
        cityHash64(ticker, date)      AS obs_id,
        toFloat64(implied_volatility) AS iv,
        toFloat64(delta)              AS contract_delta,
        toInt32(round(100 * (toFloat64(strike_price) / toFloat64(underlying_close) - 1) / 2) * 2) AS moneyness_step,
        concat(if(moneyness_step > 0, '+', ''), toString(moneyness_step), '%')                    AS strike_vs_spot
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'AAPL'
      AND toFloat64(delta) > 0
      AND date BETWEEN '2026-04-06' AND '2026-05-15'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
      AND implied_volatility > 0
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.10
)
GROUP BY strike_vs_spot, moneyness_step
HAVING count() >= 20
ORDER BY moneyness_step ASC

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