delta_rantai

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.

WITH
    (
        SELECT max(date)
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'JNJ'
    ) AS sesi_data,
    (
        SELECT min(expiration_date)
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'JNJ'
          AND date = (SELECT max(date) FROM global_markets.options_greeks WHERE underlying_symbol = 'JNJ')
          AND iv_converged = 1
          AND volume > 0
          AND days_to_expiry >= 10
          AND toDayOfWeek(expiration_date) = 5
          AND toDayOfMonth(expiration_date) BETWEEN 15 AND 21
    ) AS luput_bulanan
SELECT
    toString(round(toFloat64(strike_price), 2))                                  AS strike,
    round(avgIf(toFloat64(delta), option_type IN ('call', 'C')), 3)              AS delta_call,
    round(abs(avgIf(toFloat64(delta), option_type IN ('put', 'P'))), 3)          AS delta_put_mutlak
FROM global_markets.options_greeks
WHERE underlying_symbol = 'JNJ'
  AND date = sesi_data
  AND expiration_date = luput_bulanan
  AND iv_converged = 1
  AND volume > 4
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.05
GROUP BY strike_price
HAVING countIf(option_type IN ('call', 'C')) > 0
   AND countIf(option_type IN ('put', 'P')) > 0
ORDER BY strike_price ASC