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.
| strike_vs_spot | quoted_vol_pct | typical_delta |
|---|---|---|
| -10% | 29.85 | 0.87 |
| -8% | 28.8 | 0.85 |
| -6% | 28.33 | 0.79 |
| -4% | 26.99 | 0.73 |
| -2% | 26.6 | 0.64 |
| 0% | 25.88 | 0.52 |
| +2% | 25.71 | 0.42 |
| +4% | 25.24 | 0.33 |
| +6% | 25.01 | 0.24 |
| +8% | 25.06 | 0.17 |
| +10% | 24.62 | 0.12 |
- Rows × columns
- 11 × 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 | 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.
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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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