candidates

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
    (
        SELECT max(date)
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
    ) AS snapshot,
    (
        SELECT expiration_date
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND date = snapshot
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry BETWEEN 25 AND 45
        GROUP BY expiration_date
        ORDER BY sum(volume) DESC
        LIMIT 1
    ) AS target_expiry,
    chain AS
    (
        SELECT
            toFloat64(strike_price)                 AS k,
            if(toFloat64(delta) < 0, 'put', 'call') AS side,
            avg(toFloat64(option_close))            AS px,
            avg(toFloat64(delta))                   AS d
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND date = snapshot
          AND expiration_date = target_expiry
          AND iv_converged = 1
          AND volume > 0
          AND toFloat64(option_close) > 0
          AND toUInt32(round(toFloat64(strike_price) * 100)) % 500 = 0
        GROUP BY k, side
    ),
    put_spreads AS
    (
        SELECT s.k AS short_k, l.k AS long_k, s.d AS short_delta, s.px - l.px AS credit
        FROM chain AS s
        CROSS JOIN chain AS l
        WHERE s.side = 'put' AND l.side = 'put'
          AND s.d BETWEEN -0.20 AND -0.12
          AND abs(l.k - (s.k - 5)) < 0.01
    ),
    call_spreads AS
    (
        SELECT s.k AS short_k, l.k AS long_k, s.d AS short_delta, s.px - l.px AS credit
        FROM chain AS s
        CROSS JOIN chain AS l
        WHERE s.side = 'call' AND l.side = 'call'
          AND s.d BETWEEN 0.12 AND 0.20
          AND abs(l.k - (s.k + 5)) < 0.01
    )
SELECT
    concat(toString(toUInt32(p.short_k)), '/', toString(toUInt32(p.long_k)), ' put + ',
           toString(toUInt32(c.short_k)), '/', toString(toUInt32(c.long_k)), ' call') AS structure,
    concat(toString(round(p.short_delta, 2)), ' / ',
           toString(round(c.short_delta, 2)))                                         AS short_deltas,
    round(p.credit + c.credit, 2)                                                     AS net_credit,
    round(5 - (p.credit + c.credit), 2)                                               AS max_loss,
    round(100 * (p.credit + c.credit) / (5 - (p.credit + c.credit)), 1)               AS credit_pct,
    formatDateTime(target_expiry, '%b %e, %Y')                                        AS expiry,
    formatDateTime(snapshot, '%b %e, %Y')                                             AS as_of
FROM put_spreads AS p
CROSS JOIN call_spreads AS c
WHERE p.credit + c.credit BETWEEN 0.05 AND 4.0
  AND 100 * (p.credit + c.credit) / (5 - (p.credit + c.credit)) >= 20
ORDER BY credit_pct DESC
LIMIT 12