threshold_trace

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'
    ),
    target AS
    (
        SELECT
            expiration_date                                             AS expiry,
            toUInt32(round(avg(toFloat64(underlying_close)) / 10) * 10)  AS k
        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
        GROUP BY expiration_date
        ORDER BY sum(volume) DESC
        LIMIT 1
    ),
    daily AS
    (
        SELECT
            date,
            toUInt32(round(toFloat64(strike_price))) AS strike,
            avg(toFloat64(option_close))             AS call_price
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'SPY'
          AND expiration_date = (SELECT expiry FROM target)
          AND date >= (SELECT as_of FROM pinned) - 14
          AND date <= (SELECT expiry FROM target)
          AND iv_converged = 1
          AND volume > 0
          AND delta > 0
          AND abs(toInt32(round(toFloat64(strike_price))) - toInt32((SELECT k FROM target))) = 10
        GROUP BY date, strike
    )
SELECT
    toString(a.date)                                                 AS date,
    round(100 * greatest((a.call_price - b.call_price) / 20, 0), 1)   AS prob_above_pct,
    toString((SELECT k FROM target))                                  AS threshold_label
FROM daily AS a
INNER JOIN daily AS b ON b.date = a.date AND b.strike = a.strike + 20
ORDER BY a.date