Median premium collected per delta band, as a percent of the share price
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 2026-09-27, from How to Pick an Option Strike Price by Delta.
| delta_band | call_premium_pct | put_premium_pct | contract_count |
|---|---|---|---|
| 5 to 10 | 0.21 | 0.26 | 7543 |
| 10 to 15 | 0.38 | 0.45 | 4875 |
| 15 to 20 | 0.57 | 0.64 | 3829 |
| 20 to 25 | 0.78 | 0.89 | 3248 |
| 25 to 30 | 0.98 | 1.12 | 2865 |
| 30 to 35 | 1.25 | 1.4 | 2688 |
| 35 to 40 | 1.49 | 1.7 | 2531 |
| 40 to 45 | 1.84 | 2.05 | 2447 |
| 45 to 50 | 2.13 | 2.43 | 2394 |
- Rows × columns
- 9 × 4
- 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 |
|---|---|---|---|
delta_band |
text | 9 distinct values (10 to 15, 15 to 20, 20 to 25…) | |
call_premium_pct |
number | 0.21 to 2.13 | percent |
put_premium_pct |
number | 0.26 to 2.43 | percent |
contract_count |
number | 2,394 to 7,543 | count |
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
snaps AS
(
SELECT
ticker AS contract,
any(if(upper(substring(toString(option_type), 1, 1)) = 'C', 'call', 'put')) AS opt,
argMin(abs(delta), abs(toInt32(days_to_expiry) - 30)) AS abs_delta,
argMin(100 * toFloat64(option_close) / toFloat64(underlying_close),
abs(toInt32(days_to_expiry) - 30)) AS premium_pct
FROM global_markets.options_greeks
WHERE date >= '2024-01-01'
AND date < '2026-09-01'
AND days_to_expiry BETWEEN 27 AND 33
AND delta != 0
AND volume > 0
AND option_close > 0
AND underlying_close > 0
AND toDate(expiration_date) < '2026-09-01'
AND underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'AMZN', 'SPY', 'KO', 'JPM', 'XOM')
GROUP BY contract
HAVING abs_delta >= 0.05 AND abs_delta < 0.50
),
banded AS
(
SELECT
toUInt16(floor(abs_delta * 20)) AS band,
contract,
opt,
premium_pct
FROM snaps
)
SELECT
concat(toString(band * 5), ' to ', toString(band * 5 + 5)) AS delta_band,
round(quantileDeterministicIf(0.5)(premium_pct, cityHash64(contract), opt = 'call'), 2) AS call_premium_pct,
round(quantileDeterministicIf(0.5)(premium_pct, cityHash64(contract), opt = 'put'), 2) AS put_premium_pct,
count() AS contract_count
FROM banded
GROUP BY band
HAVING countIf(opt = 'call') > 0 AND countIf(opt = 'put') > 0
ORDER BY band
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