chain

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
SELECT
    toString(toUInt32(toFloat64(strike_price)))              AS strike,
    round(avgIf(toFloat64(delta), toFloat64(delta) < 0), 3)  AS put_delta,
    round(avgIf(toFloat64(delta), toFloat64(delta) > 0), 3)  AS call_delta,
    formatDateTime(target_expiry, '%b %e, %Y')               AS expiry,
    formatDateTime(snapshot, '%b %e, %Y')                    AS as_of
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
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.06
GROUP BY strike_price
HAVING countIf(toFloat64(delta) < 0) > 0
   AND countIf(toFloat64(delta) > 0) > 0
ORDER BY strike_price