ladder_audit

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
        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 10 AND 75
          AND toDayOfWeek(expiration_date) = 5
    ),
    legs AS
    (
        SELECT
            expiration_date                          AS expiry,
            toUInt32(round(toFloat64(strike_price))) AS strike,
            round(avg(toFloat64(option_close)), 4)   AS call_price
        FROM chain
        WHERE abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.08
          AND modulo(toUInt32(round(toFloat64(strike_price))), 10) = 0
        GROUP BY expiry, strike
    ),
    ranked AS
    (
        SELECT
            expiry,
            strike,
            call_price,
            row_number() OVER (PARTITION BY expiry ORDER BY strike) AS rn
        FROM legs
    ),
    pairs AS
    (
        SELECT
            a.expiry                                                                AS expiry,
            a.rn                                                                    AS rn,
            greatest((a.call_price - b.call_price) / (b.strike - a.strike), 0)       AS p,
            if(b.call_price > a.call_price, 1, 0)                                    AS bad
        FROM ranked AS a
        INNER JOIN ranked AS b ON b.expiry = a.expiry AND b.rn = a.rn + 1
    )
SELECT
    toString(expiry)                                  AS expiry_date,
    round(100 * (argMin(p, rn) - argMax(p, rn)), 1)   AS band_prob_pct,
    toUInt32(count() + 1)                             AS leg_count,
    toUInt32(sum(bad))                                AS non_monotone_pairs
FROM pairs
GROUP BY expiry
HAVING count() >= 4
ORDER BY expiry