STRASMORE/EXPLORE 2,549 QUERIES

near_expiry_risk

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-09-24, from market-making-in-prediction-markets.

as of ranking 6×4read in context →
near_expiry_risk — 6 rows by 4 columns, computed from US exchange, SIP and OPRA data.
dte_bucketatm_iv_pctdelta_shiftcontract_count
0-1d20.40.2752387
2-3d17.40.2293666
4-7d14.70.1919744
8-14d14.80.14913644
15-30d15.70.1039574
31-60d15.70.07510446
Rows × columns
6 × 4
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for near_expiry_risk, derived from the stored result.
ColumnTypeRangeNotes
dte_bucket text 6 distinct values (0-1d, 15-30d, 2-3d…)
atm_iv_pct number 14.7 to 20.4 percent
delta_shift number 0.075 to 0.275
contract_count number 2,387 to 13,644 count

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.

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(days_to_expiry <= 1,  '0-1d',
            days_to_expiry <= 3,  '2-3d',
            days_to_expiry <= 7,  '4-7d',
            days_to_expiry <= 14, '8-14d',
            days_to_expiry <= 30, '15-30d',
                                  '31-60d')           AS dte_bucket,
    round(100 * avg(toFloat64(implied_volatility)), 1) AS atm_iv_pct,
    round(avg(toFloat64(gamma) * toFloat64(underlying_close)) / 100, 3) AS delta_shift,
    count()                                            AS contract_count
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
  AND date >= '2026-04-01'
  AND date <= '2026-06-30'
  AND iv_converged = 1
  AND volume > 0
  AND days_to_expiry >= 0
  AND days_to_expiry <= 60
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
GROUP BY dte_bucket
ORDER BY min(days_to_expiry)
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