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

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
    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)