delta_ladder
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.
| otm_distance | call_delta | put_delta |
|---|---|---|
| 0.5% | 0.347 | 0.337 |
| 1% | 0.204 | 0.226 |
| 1.5% | 0.109 | 0.153 |
| 2% | 0.054 | 0.104 |
| 2.5% | 0.026 | 0.072 |
| 3% | 0.015 | 0.051 |
| 3.5% | 0.01 | 0.038 |
| 4% | 0.008 | 0.029 |
- Rows × columns
- 8 × 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 |
|---|---|---|---|
otm_distance |
text | 8 distinct values (0.5%, 1%, 1.5%…) | |
call_delta |
number | 0.008 to 0.347 | |
put_delta |
number | 0.029 to 0.337 |
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.
SELECT
concat(toString(dist_pct), '%') AS otm_distance,
round(avgIf(abs(delta), side = 'c'), 3) AS call_delta,
round(avgIf(abs(delta), side = 'p'), 3) AS put_delta
FROM
(
SELECT
lower(substring(toString(option_type), 1, 1)) AS side,
delta,
round(abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 200) / 2 AS dist_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date BETWEEN '2026-08-03' AND '2026-08-28'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 2 AND 9
AND ((lower(substring(toString(option_type), 1, 1)) = 'c' AND strike_price > underlying_close)
OR (lower(substring(toString(option_type), 1, 1)) = 'p' AND strike_price < underlying_close))
)
WHERE dist_pct BETWEEN 0.5 AND 4
GROUP BY dist_pct
HAVING countIf(side = 'c') > 0
AND countIf(side = 'p') > 0
ORDER BY dist_pct
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