delta_drift
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 2026-09-30, from how-to-adjust-an-iron-condor.
| session_date | short_call_delta | short_put_delta |
|---|---|---|
| 2026-08-10 | 0.156 | 0.164 |
| 2026-08-11 | 0.106 | 0.177 |
| 2026-08-12 | 0.091 | 0.122 |
| 2026-08-13 | 0.186 | 0.071 |
| 2026-08-14 | 0.092 | 0.058 |
| 2026-08-17 | 0.025 | 0.068 |
| 2026-08-18 | 0.007 | 0.124 |
| 2026-08-19 | 0.008 | 0.062 |
| 2026-08-20 | 0.004 | 0.155 |
- Rows × columns
- 9 × 3
- Period covered
- to
- 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 |
|---|---|---|---|
session_date |
date | 2026-08-10 to 2026-08-20 | |
short_call_delta |
number | 0.004 to 0.186 | |
short_put_delta |
number | 0.058 to 0.177 |
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.
WITH picks AS
(
SELECT
lower(substring(toString(option_type), 1, 1)) AS side,
argMin(ticker, abs(abs(delta) - 0.16)) AS contract
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date = '2026-08-10'
AND expiration_date = '2026-08-21'
AND iv_converged = 1
AND volume > 0
GROUP BY side
)
SELECT
toString(date) AS session_date,
round(maxIf(abs(delta), lower(substring(toString(option_type), 1, 1)) = 'c'), 3) AS short_call_delta,
round(maxIf(abs(delta), lower(substring(toString(option_type), 1, 1)) = 'p'), 3) AS short_put_delta
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND expiration_date = '2026-08-21'
AND ticker IN (SELECT contract FROM picks)
AND date BETWEEN '2026-08-10' AND '2026-08-21'
AND iv_converged = 1
AND volume > 0
GROUP BY date
HAVING countIf(lower(substring(toString(option_type), 1, 1)) = 'c') > 0
AND countIf(lower(substring(toString(option_type), 1, 1)) = 'p') > 0
ORDER BY date
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