STRASMORE/EXPLORE 2,170 QUERIES

Time value left in an in-the-money KO call as expiry approaches

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 2026-08-07, from How to Roll an Option Position: Up and Out.

as of ranking 5×4read in context →
Time value left in an in-the-money KO call as expiry approaches — 5 rows by 4 columns, computed from US exchange, SIP and OPRA data.
dte_bucketavg_time_value_dollarstime_value_pct_of_spotsample_count
0-2 days0.340.43203
3-5 days0.290.37204
6-10 days0.460.58439
11-21 days0.650.82669
22-45 days1.051.311200
Rows × columns
5 × 4
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 Time value left in an in-the-money KO call as expiry approaches, derived from the stored result.
ColumnTypeRangeNotes
dte_bucket text 5 distinct values (0-2 days, 11-21 days, 22-45 days…)
avg_time_value_dollars number 0.29 to 1.05
time_value_pct_of_spot number 0.37 to 1.31 percent
sample_count number 203 to 1,200 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.

the exact SQL behind every number 
SELECT
    dte_bucket,
    round(avg(extrinsic_dollars), 2) AS avg_time_value_dollars,
    round(avg(extrinsic_pct), 2)     AS time_value_pct_of_spot,
    count()                          AS sample_count
FROM
(
    SELECT
        multiIf(days_to_expiry <=  2, '0-2 days',
                days_to_expiry <=  5, '3-5 days',
                days_to_expiry <= 10, '6-10 days',
                days_to_expiry <= 21, '11-21 days',
                                      '22-45 days')  AS dte_bucket,
        days_to_expiry                               AS dte,
        greatest(toFloat64(option_close)
                 - (toFloat64(underlying_close) - toFloat64(strike_price)), 0) AS extrinsic_dollars,
        greatest(toFloat64(option_close)
                 - (toFloat64(underlying_close) - toFloat64(strike_price)), 0)
            / toFloat64(underlying_close) * 100                                AS extrinsic_pct
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'KO'
      AND lower(option_type) IN ('call', 'c')
      AND iv_converged = 1
      AND volume > 0
      AND date >= '2026-02-01'
      AND date <  '2026-08-01'
      AND days_to_expiry BETWEEN 0 AND 45
      AND underlying_close > 0
      AND toFloat64(strike_price) / toFloat64(underlying_close) BETWEEN 0.90 AND 0.99
)
GROUP BY dte_bucket
ORDER BY min(dte)

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