Time value left in deep in-the-money SPY calls, against the dividend at stake
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 2026-09-20, from SPX vs SPY Options: Which One to Trade.
| strike | pct_below_spy | time_value_per_contract_usd | dividend_per_contract_usd |
|---|---|---|---|
| 675 | 11.4 | 188.15 | 188.88 |
| 680 | 10.8 | 195.15 | 188.88 |
| 690 | 9.5 | 204.15 | 188.88 |
| 695 | 8.8 | 235.15 | 188.88 |
| 700 | 8.1 | 264.15 | 188.88 |
| 705 | 7.5 | 292.15 | 188.88 |
| 710 | 6.8 | 336.15 | 188.88 |
| 715 | 6.2 | 325.15 | 188.88 |
| 720 | 5.5 | 395.15 | 188.88 |
| 725 | 4.9 | 422.15 | 188.88 |
| 730 | 4.2 | 472.15 | 188.88 |
| 735 | 3.6 | 565.15 | 188.88 |
| 740 | 2.9 | 581.15 | 188.88 |
| 745 | 2.2 | 686.15 | 188.88 |
| 750 | 1.6 | 759.15 | 188.88 |
- Rows × columns
- 15 × 4
- 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 |
|---|---|---|---|
strike |
text | 15 distinct values (675, 680, 690…) | |
pct_below_spy |
text | 15 distinct values (1.6, 10.8, 11.4…) | |
time_value_per_contract_usd |
number | 188.15 to 759.15 | US dollars |
dividend_per_contract_usd |
number | every row is 188.88 | US dollars |
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
spy_ex AS
(
SELECT
max(ex_dividend_date) AS ex_date,
argMax(toFloat64(cash_amount), ex_dividend_date) AS cash_per_share
FROM global_markets.stocks_dividends
WHERE ticker = 'SPY'
AND ex_dividend_date <= today()
),
chain_date AS
(
SELECT max(date) AS d
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date < (SELECT ex_date FROM spy_ex)
AND date >= (SELECT ex_date FROM spy_ex) - 10
),
target_expiry AS
(
SELECT expiration_date AS e
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date = (SELECT d FROM chain_date)
AND days_to_expiry BETWEEN 20 AND 45
GROUP BY expiration_date
ORDER BY sum(volume) DESC, expiration_date
LIMIT 1
)
SELECT
toString(toUInt32(strike_price)) AS strike,
toString(round(100 * (1 - avg(toFloat64(strike_price))
/ avg(toFloat64(underlying_close))), 1)) AS pct_below_spy,
round(avg(greatest(toFloat64(option_close)
- greatest(toFloat64(underlying_close)
- toFloat64(strike_price), 0), 0)) * 100, 2) AS time_value_per_contract_usd,
round((SELECT cash_per_share FROM spy_ex) * 100, 2) AS dividend_per_contract_usd
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND option_type IN ('call', 'C')
AND date = (SELECT d FROM chain_date)
AND expiration_date = (SELECT e FROM target_expiry)
AND toFloat64(strike_price) BETWEEN toFloat64(underlying_close) * 0.88
AND toFloat64(underlying_close) * 0.99
AND toUInt32(strike_price) % 5 = 0
GROUP BY strike_price
ORDER BY strike_price
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