delta_kurve

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
    multiIf(mny < -0.07, 'Basis 7 % und mehr unter Kurs',
            mny < -0.02, 'Basis 2 bis 7 % unter Kurs',
            mny <  0.02, 'Basis am Geld (+/- 2 %)',
            mny <  0.07, 'Basis 2 bis 7 % über Kurs',
                         'Basis 7 % und mehr über Kurs') AS moneyness_band,
    round(avg(delta), 3)                                  AS put_delta,
    round(avg(toFloat64(implied_volatility)) * 100, 1)    AS iv_pct,
    sum(volume)                                           AS contract_volume,
    formatDateTime(any(d), '%d.%m.%Y')                    AS stichtag
FROM
(
    SELECT
        date                                                      AS d,
        toFloat64(strike_price) / toFloat64(underlying_close) - 1  AS mny,
        delta,
        implied_volatility,
        volume
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'AAPL'
      AND lower(option_type) IN ('put', 'p')
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 75 AND 105
      AND date =
      (
          SELECT max(date)
          FROM global_markets.options_greeks
          WHERE underlying_symbol = 'AAPL'
            AND lower(option_type) IN ('put', 'p')
            AND iv_converged = 1
            AND volume > 0
            AND days_to_expiry BETWEEN 75 AND 105
      )
)
GROUP BY moneyness_band
ORDER BY avg(mny)