Credit, risk and breakeven win rate for nine SPY condor structures

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 chain AS
(
    SELECT
        date,
        expiration_date,
        toFloat64(strike_price) AS strike,
        toFloat64(option_close) AS premium,
        delta,
        multiIf(abs(delta) BETWEEN 0.08 AND 0.12, '10 delta',
                abs(delta) BETWEEN 0.14 AND 0.18, '16 delta',
                abs(delta) BETWEEN 0.22 AND 0.28, '25 delta', '') AS short_bucket
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= '2026-07-01'
      AND date <  '2026-10-01'
      AND iv_converged = 1
      AND volume > 0
      AND option_close > 0
      AND days_to_expiry BETWEEN 28 AND 45
),
wings AS
(
    SELECT date, expiration_date, strike, premium, delta, arrayJoin([5, 10, 20]) AS width
    FROM chain
),
put_wing AS
(
    SELECT
        s.date                     AS d,
        s.expiration_date          AS e,
        s.short_bucket             AS b,
        l.width                    AS w,
        avg(s.premium - l.premium) AS put_credit,
        avg(abs(s.delta))          AS put_delta
    FROM chain AS s
    INNER JOIN
    (
        SELECT date, expiration_date, strike + width AS paired_strike, premium, delta, width
        FROM wings
    ) AS l
        ON  s.date            = l.date
        AND s.expiration_date = l.expiration_date
        AND s.strike          = l.paired_strike
    WHERE s.delta < 0
      AND l.delta < 0
      AND s.short_bucket != ''
      AND s.premium > l.premium
      AND s.premium - l.premium < l.width
    GROUP BY d, e, b, w
),
call_wing AS
(
    SELECT
        s.date                     AS d,
        s.expiration_date          AS e,
        s.short_bucket             AS b,
        l.width                    AS w,
        avg(s.premium - l.premium) AS call_credit,
        avg(abs(s.delta))          AS call_delta
    FROM chain AS s
    INNER JOIN
    (
        SELECT date, expiration_date, strike - width AS paired_strike, premium, delta, width
        FROM wings
    ) AS l
        ON  s.date            = l.date
        AND s.expiration_date = l.expiration_date
        AND s.strike          = l.paired_strike
    WHERE s.delta > 0
      AND l.delta > 0
      AND s.short_bucket != ''
      AND s.premium > l.premium
      AND s.premium - l.premium < l.width
    GROUP BY d, e, b, w
)
SELECT
    concat('$', toString(p.w), ' wide, ', p.b)                       AS label,
    round(avg(p.put_credit + c.call_credit), 2)                      AS credit_dollars,
    round(avg(p.w - (p.put_credit + c.call_credit)), 2)              AS risk_dollars,
    round(100 - 100 * avg(p.put_delta + c.call_delta), 1)            AS advertised_win_rate_pct,
    round(100 * avg((p.w - (p.put_credit + c.call_credit)) / p.w), 1) AS breakeven_win_rate_pct,
    count()                                                          AS condor_count
FROM put_wing AS p
INNER JOIN call_wing AS c
    ON p.d = c.d AND p.e = c.e AND p.b = c.b AND p.w = c.w
GROUP BY p.w, p.b
ORDER BY p.w ASC, advertised_win_rate_pct ASC