STRASMORE/EXPLORE 2,830 QUERIES

verval_en_gamma

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 2026-09-30, from short-dated-aex-options.

as of ranking 6×3read in context →
verval_en_gamma — 6 rows by 3 columns, computed from US exchange, SIP and OPRA data.
looptijdtijdverval_pct_per_dagdelta_punten_per_procent
1 dag73.542.2
2-5 dagen19.531.7
6-10 dagen7.122
11-21 dagen3.816.1
22-45 dagen1.69.8
46-90 dagen0.86.4
Rows × columns
6 × 3
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for verval_en_gamma, derived from the stored result.
ColumnTypeRangeNotes
looptijd text 6 distinct values (1 dag, 11-21 dagen, 2-5 dagen…)
tijdverval_pct_per_dag number 0.8 to 73.5 percent
delta_punten_per_procent number 6.4 to 42.2

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.

SELECT
    multiIf(days_to_expiry = 1,   '1 dag',
            days_to_expiry <= 5,  '2-5 dagen',
            days_to_expiry <= 10, '6-10 dagen',
            days_to_expiry <= 21, '11-21 dagen',
            days_to_expiry <= 45, '22-45 dagen',
                                  '46-90 dagen')                             AS looptijd,
    round(avg(100 * abs(toFloat64(theta)) / toFloat64(option_close)), 1)      AS tijdverval_pct_per_dag,
    round(avg(toFloat64(gamma) * toFloat64(underlying_close)), 1)            AS delta_punten_per_procent
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
  AND date >= today() - 120
  AND iv_converged = 1
  AND volume > 0
  AND option_close > 0.05
  AND days_to_expiry BETWEEN 1 AND 90
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.01
GROUP BY looptijd
ORDER BY min(days_to_expiry)
⌘/Ctrl + Enter

Werk met deze data in je AI-assistent

Opent klaar om te bevragen, met de data van deze pagina. Gratis, zonder account.

Claude ChatGPT Gemini Muse Je eigen agent