Call delta and put delta at matched strikes, SPY, 20 to 45 days out

Name: Call delta and put delta at matched strikes, SPY, 20 to 45 days out
Creator: Strasmore
Published: 2026-09-24
License: https://www.strasmore.com/terms/

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 2026-09-24 table 11×5read in context →

Call delta and put delta at matched strikes, SPY, 20 to 45 days out — 11 rows by 5 columns, computed 2026-09-24 from US exchange, SIP and OPRA data.
strike_vs_spot	call_delta	put_delta_abs	delta_sum	contract_count
-5%	0.836	0.176	1.012	1391
-4%	0.808	0.206	1.014	2864
-3%	0.758	0.254	1.011	3087
-2%	0.699	0.312	1.011	3387
-1%	0.623	0.382	1.005	3510
+0%	0.537	0.463	1.001	3678
+1%	0.442	0.552	0.994	3282
+2%	0.343	0.643	0.986	2739
+3%	0.245	0.725	0.97	2263
+4%	0.165	0.793	0.958	1919
+5%	0.115	0.822	0.937	817

Rows × columns: 11 × 5
Computed: 2026-09-24
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 Call delta and put delta at matched strikes, SPY, 20 to 45 days out, derived from the stored result.
Column	Type	Range	Notes
`strike_vs_spot`	text	11 distinct values (+0%, +1%, +2%…)
`call_delta`	number	0.115 to 0.836
`put_delta_abs`	number	0.176 to 0.822
`delta_sum`	number	0.937 to 1.014
`contract_count`	number	817 to 3,678	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 2026-09-24, 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
    concat(if(strike_pct >= 0, '+', ''), toString(strike_pct), '%') AS strike_vs_spot,
    round(avgIf(d, is_call), 3)                                     AS call_delta,
    round(-avgIf(d, NOT is_call), 3)                                AS put_delta_abs,
    round(avgIf(d, is_call) - avgIf(d, NOT is_call), 3)             AS delta_sum,
    count()                                                         AS contract_count
FROM
(
    SELECT
        toFloat64(delta)                    AS d,
        startsWith(lower(option_type), 'c') AS is_call,
        toInt32(round(100 * (toFloat64(strike_price) / toFloat64(underlying_close) - 1))) AS strike_pct
    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 >= 20
      AND days_to_expiry <= 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.05
)
GROUP BY strike_pct
HAVING countIf(is_call) > 0 AND countIf(NOT is_call) > 0
ORDER BY strike_pct

SQL to run

SELECT
    concat(if(strike_pct >= 0, '+', ''), toString(strike_pct), '%') AS strike_vs_spot,
    round(avgIf(d, is_call), 3)                                     AS call_delta,
    round(-avgIf(d, NOT is_call), 3)                                AS put_delta_abs,
    round(avgIf(d, is_call) - avgIf(d, NOT is_call), 3)             AS delta_sum,
    count()                                                         AS contract_count
FROM
(
    SELECT
        toFloat64(delta)                    AS d,
        startsWith(lower(option_type), 'c') AS is_call,
        toInt32(round(100 * (toFloat64(strike_price) / toFloat64(underlying_close) - 1))) AS strike_pct
    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 >= 20
      AND days_to_expiry <= 45
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.05
)
GROUP BY strike_pct
HAVING countIf(is_call) > 0 AND countIf(NOT is_call) > 0
ORDER BY strike_pct

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