AAPL LEAPS calls and puts at matching strikes, one recent session

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
    concat('$', toString(toUInt32(strike_price)))                          AS strike,
    round(avg(toFloat64(underlying_close)), 2)                             AS stock_price,
    round(avgIf(toFloat64(option_close), leg = 'call'), 2)                 AS call_price,
    round(avgIf(toFloat64(option_close), leg = 'put'), 2)                  AS put_price,
    round(avgIf(toFloat64(option_close), leg = 'call')
        - avgIf(toFloat64(option_close), leg = 'put'), 2)                  AS net_debit,
    round(avg(toFloat64(underlying_close))
        - avgIf(toFloat64(option_close), leg = 'call')
        + avgIf(toFloat64(option_close), leg = 'put'), 2)                  AS amount_financed,
    concat(toString(max(days_to_expiry)), ' calendar days')                AS term_label,
    formatDateTime(max(expiration_date), '%b %Y')                          AS expiry_label,
    formatDateTime(max(date), '%b %e, %Y')                                 AS priced_on
FROM
(
    SELECT
        strike_price,
        underlying_close,
        option_close,
        days_to_expiry,
        expiration_date,
        date,
        if(lower(toString(option_type)) LIKE 'c%', 'call', 'put') AS leg
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'AAPL'
      AND date = (
            SELECT max(date)
            FROM global_markets.options_greeks
            WHERE underlying_symbol = 'AAPL'
      )
      AND expiration_date = (
            SELECT expiration_date
            FROM global_markets.options_greeks
            WHERE underlying_symbol = 'AAPL'
              AND date = (
                    SELECT max(date)
                    FROM global_markets.options_greeks
                    WHERE underlying_symbol = 'AAPL'
              )
              AND days_to_expiry >= 200
              AND toDayOfWeek(expiration_date) = 5
            GROUP BY expiration_date
            ORDER BY abs(toInt32(max(days_to_expiry)) - 450) ASC
            LIMIT 1
      )
      AND toFloat64(option_close) > 0
      AND toFloat64(strike_price) / toFloat64(underlying_close) BETWEEN 0.50 AND 0.95
      AND modulo(toUInt32(strike_price), 10) = 0
)
GROUP BY strike_price
HAVING countIf(leg = 'call') > 0
   AND countIf(leg = 'put') > 0
ORDER BY strike_price
LIMIT 12