Profit or loss per share at expiration: repair vs plain shares
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 2026-09-19, from Stock Repair Strategy: A Real NKE Example.
| move | price_at_expiry | hold_pnl_per_share | repair_pnl_per_share |
|---|---|---|---|
| -20% | 29.09 | -45.48 | -45.03 |
| -15% | 30.9 | -43.67 | -43.22 |
| -10% | 32.72 | -41.85 | -41.4 |
| -5% | 34.54 | -40.03 | -39.58 |
| 0% | 36.36 | -38.21 | -37.76 |
| +5% | 38.18 | -36.39 | -35.27 |
| +10% | 39.99 | -34.58 | -31.63 |
| +15% | 41.81 | -32.76 | -31.62 |
| +20% | 43.63 | -30.94 | -31.62 |
| +25% | 45.45 | -29.12 | -31.62 |
| +30% | 47.27 | -27.3 | -31.62 |
- Rows × columns
- 11 × 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 |
|---|---|---|---|
move |
text | 11 distinct values (+10%, +15%, +20%…) | |
price_at_expiry |
text | 11 distinct values (29.09, 30.9, 32.72…) | |
hold_pnl_per_share |
number | -45.48 to -27.3 | |
repair_pnl_per_share |
number | -45.03 to -31.62 |
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.
the exact SQL behind every number
WITH
(
SELECT max(date)
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NKE'
AND iv_converged = 1
AND volume > 0
) AS asof_date,
(
SELECT expiration_date
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NKE'
AND lower(toString(option_type)) IN ('call', 'c')
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 60 AND 90
AND date = (
SELECT max(date)
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NKE'
AND iv_converged = 1
AND volume > 0
)
GROUP BY expiration_date
ORDER BY sum(volume) DESC, expiration_date
LIMIT 1
) AS expiry,
(
SELECT toFloat64(max(close))
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'NKE'
AND date >= today() - 371
AND date < today()
) AS purchase_price
SELECT
concat(if(m > 1, '+', ''), toString(toInt32(round((m - 1) * 100))), '%') AS move,
toString(round(spot_px * m, 2)) AS price_at_expiry,
round(spot_px * m - purchase_price, 2) AS hold_pnl_per_share,
round(spot_px * m - purchase_price
+ greatest(spot_px * m - k1, 0.0)
- 2 * greatest(spot_px * m - k2, 0.0)
- (k1_px - 2 * k2_px), 2) AS repair_pnl_per_share
FROM
(
SELECT
any(spot) AS spot_px,
any(atm_k) AS k1,
any(atm_px) AS k1_px,
max(k) AS k2,
argMax(px, k) AS k2_px
FROM
(
SELECT
k,
px,
spot,
first_value(k) OVER (ORDER BY abs(k - spot), k ROWS BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING) AS atm_k,
first_value(px) OVER (ORDER BY abs(k - spot), k ROWS BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING) AS atm_px
FROM
(
SELECT
toFloat64(strike_price) AS k,
toFloat64(any(option_close)) AS px,
toFloat64(any(underlying_close)) AS spot
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NKE'
AND lower(toString(option_type)) IN ('call', 'c')
AND date = asof_date
AND expiration_date = expiry
AND iv_converged = 1
AND volume > 0
GROUP BY strike_price
)
)
WHERE k > atm_k
AND k <= atm_k * 1.30
AND atm_px - 2 * px <= 0
) AS pick
ARRAY JOIN [0.80, 0.85, 0.90, 0.95, 1.00, 1.05, 1.10, 1.15, 1.20, 1.25, 1.30] AS m
ORDER BY m
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