{"slug":"nikkei-225-options-explained","qid":"theta_curve","label":"Median theta and implied volatility by days to expiry: near-the-money SPY contracts, H1 2026","post_title":"Nikkei 225 Options and SQ Settlement","post_url":"/blog/nikkei-225-options-explained#q-theta_curve","columns":["dte","median_theta_usd","median_iv_pct","contract_count"],"rows":[{"dte":1,"median_theta_usd":0.898,"median_iv_pct":18.4,"contract_count":4658},{"dte":2,"median_theta_usd":0.704,"median_iv_pct":17.6,"contract_count":3661},{"dte":3,"median_theta_usd":0.555,"median_iv_pct":16,"contract_count":3534},{"dte":4,"median_theta_usd":0.431,"median_iv_pct":14.5,"contract_count":3504},{"dte":5,"median_theta_usd":0.391,"median_iv_pct":14.2,"contract_count":3771},{"dte":6,"median_theta_usd":0.384,"median_iv_pct":14.7,"contract_count":5183},{"dte":7,"median_theta_usd":0.37,"median_iv_pct":14.9,"contract_count":6370},{"dte":8,"median_theta_usd":0.357,"median_iv_pct":15.1,"contract_count":5104},{"dte":9,"median_theta_usd":0.346,"median_iv_pct":15.3,"contract_count":3723},{"dte":10,"median_theta_usd":0.324,"median_iv_pct":15,"contract_count":3583},{"dte":11,"median_theta_usd":0.306,"median_iv_pct":14.6,"contract_count":3509},{"dte":12,"median_theta_usd":0.293,"median_iv_pct":14.5,"contract_count":3512},{"dte":13,"median_theta_usd":0.289,"median_iv_pct":14.8,"contract_count":4220},{"dte":14,"median_theta_usd":0.281,"median_iv_pct":14.9,"contract_count":2808},{"dte":15,"median_theta_usd":0.287,"median_iv_pct":15.4,"contract_count":1571},{"dte":16,"median_theta_usd":0.271,"median_iv_pct":15.5,"contract_count":1423},{"dte":17,"median_theta_usd":0.271,"median_iv_pct":15.7,"contract_count":1489},{"dte":18,"median_theta_usd":0.268,"median_iv_pct":15.9,"contract_count":1214},{"dte":19,"median_theta_usd":0.305,"median_iv_pct":19.9,"contract_count":109},{"dte":20,"median_theta_usd":0.269,"median_iv_pct":17.6,"contract_count":327},{"dte":21,"median_theta_usd":0.251,"median_iv_pct":15.6,"contract_count":1476},{"dte":22,"median_theta_usd":0.245,"median_iv_pct":15.8,"contract_count":1534},{"dte":23,"median_theta_usd":0.241,"median_iv_pct":15.7,"contract_count":1430},{"dte":24,"median_theta_usd":0.231,"median_iv_pct":15.9,"contract_count":1420},{"dte":25,"median_theta_usd":0.233,"median_iv_pct":15.7,"contract_count":1257},{"dte":26,"median_theta_usd":0.233,"median_iv_pct":14.7,"contract_count":109},{"dte":27,"median_theta_usd":0.237,"median_iv_pct":15.8,"contract_count":280},{"dte":28,"median_theta_usd":0.215,"median_iv_pct":15.4,"contract_count":1435},{"dte":29,"median_theta_usd":0.218,"median_iv_pct":15.6,"contract_count":1520},{"dte":30,"median_theta_usd":0.214,"median_iv_pct":16,"contract_count":1385},{"dte":31,"median_theta_usd":0.209,"median_iv_pct":15.8,"contract_count":1461},{"dte":32,"median_theta_usd":0.207,"median_iv_pct":15.5,"contract_count":1184},{"dte":33,"median_theta_usd":0.176,"median_iv_pct":14,"contract_count":108},{"dte":34,"median_theta_usd":0.202,"median_iv_pct":15.1,"contract_count":311},{"dte":35,"median_theta_usd":0.198,"median_iv_pct":15.5,"contract_count":1431},{"dte":36,"median_theta_usd":0.198,"median_iv_pct":15.7,"contract_count":1434},{"dte":37,"median_theta_usd":0.194,"median_iv_pct":16,"contract_count":1358},{"dte":38,"median_theta_usd":0.194,"median_iv_pct":16,"contract_count":1362},{"dte":39,"median_theta_usd":0.189,"median_iv_pct":15.4,"contract_count":1195},{"dte":40,"median_theta_usd":0.179,"median_iv_pct":15.5,"contract_count":105},{"dte":41,"median_theta_usd":0.193,"median_iv_pct":15.5,"contract_count":309},{"dte":42,"median_theta_usd":0.185,"median_iv_pct":15.9,"contract_count":1370},{"dte":43,"median_theta_usd":0.184,"median_iv_pct":15.8,"contract_count":1247},{"dte":44,"median_theta_usd":0.176,"median_iv_pct":16.6,"contract_count":851},{"dte":45,"median_theta_usd":0.177,"median_iv_pct":15.7,"contract_count":812},{"dte":46,"median_theta_usd":0.174,"median_iv_pct":15.5,"contract_count":782},{"dte":47,"median_theta_usd":0.164,"median_iv_pct":15.8,"contract_count":91},{"dte":48,"median_theta_usd":0.185,"median_iv_pct":16.2,"contract_count":245},{"dte":49,"median_theta_usd":0.17,"median_iv_pct":15.5,"contract_count":858},{"dte":50,"median_theta_usd":0.172,"median_iv_pct":15.8,"contract_count":790},{"dte":51,"median_theta_usd":0.169,"median_iv_pct":16.1,"contract_count":460},{"dte":52,"median_theta_usd":0.168,"median_iv_pct":15.6,"contract_count":520},{"dte":53,"median_theta_usd":0.163,"median_iv_pct":15.7,"contract_count":464},{"dte":54,"median_theta_usd":0.145,"median_iv_pct":16.1,"contract_count":103},{"dte":55,"median_theta_usd":0.174,"median_iv_pct":16.4,"contract_count":170},{"dte":56,"median_theta_usd":0.157,"median_iv_pct":15.7,"contract_count":522},{"dte":57,"median_theta_usd":0.16,"median_iv_pct":15.9,"contract_count":540},{"dte":58,"median_theta_usd":0.159,"median_iv_pct":16.6,"contract_count":435},{"dte":59,"median_theta_usd":0.165,"median_iv_pct":16.9,"contract_count":389},{"dte":60,"median_theta_usd":0.168,"median_iv_pct":15.8,"contract_count":376}],"shape":"table","sql":"SELECT days_to_expiry AS dte,\n       round(quantileDeterministic(0.5)(toFloat64(abs(theta)), cityHash64(ticker)), 3) AS median_theta_usd,\n       round(quantileDeterministic(0.5)(toFloat64(implied_volatility) * 100, cityHash64(ticker)), 1) AS median_iv_pct,\n       count() AS contract_count\nFROM global_markets.options_greeks\nWHERE underlying_symbol = 'SPY'\n  AND date >= toDate('2026-01-02')\n  AND date <= toDate('2026-06-30')\n  AND iv_converged = 1\n  AND volume > 0\n  AND days_to_expiry BETWEEN 1 AND 60\n  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02\nGROUP BY dte\nHAVING count() >= 30\nORDER BY dte","computed_at":"2026-08-03T08:06:58.347415+00:00","elapsed":0.002532168}