digital_ladder
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 2026-10-01, from reading-an-event-contract-ladder.
| threshold | prob_above_pct | bucket_pct |
|---|---|---|
| 705 | 93.9 | -2.1 |
| 715 | 96 | 4.5 |
| 725 | 91.5 | 11.9 |
| 735 | 79.6 | -0.5 |
| 745 | 80.1 | 19.7 |
| 755 | 60.4 | 16.5 |
| 765 | 43.9 | 17.7 |
| 775 | 26.2 | 14.8 |
| 785 | 11.4 | 5.7 |
| 795 | 5.7 | 4.2 |
| 805 | 1.5 | 1.5 |
- Rows × columns
- 11 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
threshold |
number | 705 to 805 | |
prob_above_pct |
number | 1.5 to 96 | percent |
bucket_pct |
number | -2.1 to 19.7 | percent |
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.
WITH
pinned AS
(
SELECT max(date) AS as_of
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date <= '2026-05-29'
),
chain AS
(
SELECT
expiration_date,
strike_price,
option_close,
underlying_close,
volume
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date = (SELECT as_of FROM pinned)
AND iv_converged = 1
AND volume > 0
AND delta > 0.01
AND delta < 0.99
AND days_to_expiry BETWEEN 20 AND 45
AND toDayOfWeek(expiration_date) = 5
),
busiest AS
(
SELECT expiration_date
FROM chain
GROUP BY expiration_date
ORDER BY sum(volume) DESC
LIMIT 1
),
legs AS
(
SELECT
toUInt32(round(toFloat64(strike_price))) AS strike,
round(avg(toFloat64(option_close)), 4) AS call_price
FROM chain
WHERE expiration_date = (SELECT expiration_date FROM busiest)
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.08
AND modulo(toUInt32(round(toFloat64(strike_price))), 10) = 0
GROUP BY strike
),
ranked AS
(
SELECT
strike,
call_price,
row_number() OVER (ORDER BY strike) AS rn
FROM legs
),
digitals AS
(
SELECT
(a.strike + b.strike) / 2 AS threshold,
100 * greatest((a.call_price - b.call_price) / (b.strike - a.strike), 0) AS prob_pct,
row_number() OVER (ORDER BY a.strike) AS rn
FROM ranked AS a
INNER JOIN ranked AS b ON b.rn = a.rn + 1
)
SELECT
round(d.threshold, 1) AS threshold,
round(d.prob_pct, 1) AS prob_above_pct,
round(d.prob_pct - n.prob_pct, 1) AS bucket_pct
FROM digitals AS d
LEFT JOIN digitals AS n ON n.rn = d.rn + 1
ORDER BY d.threshold
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