Premium as a percent of strike by tenor, against the square root of time estimate
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 2026-11-07, from Stocks With the Highest Option Premiums.
| dte_bucket | premium_pct_of_strike | sqrt_time_estimate_pct |
|---|---|---|
| 07-14d | 3.57 | 3.52 |
| 15-30d | 5.04 | 4.97 |
| 31-60d | 6.36 | 6.2 |
| 61-120d | 8.53 | 8.19 |
| 121-365d | 12.92 | 12.11 |
- Rows × columns
- 5 × 3
- 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 |
|---|---|---|---|
dte_bucket |
text | 5 distinct values (07-14d, 121-365d, 15-30d…) | |
premium_pct_of_strike |
number | 3.57 to 12.92 | percent |
sqrt_time_estimate_pct |
number | 3.52 to 12.11 | percent |
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 <= 14, '07-14d',
days_to_expiry <= 30, '15-30d',
days_to_expiry <= 60, '31-60d',
days_to_expiry <= 120, '61-120d',
'121-365d') AS dte_bucket,
round(100 * avg(toFloat64(option_close) / toFloat64(strike_price)), 2) AS premium_pct_of_strike,
round(100 * avg(0.4 * implied_volatility * sqrt(days_to_expiry / 365)), 2) AS sqrt_time_estimate_pct
FROM global_markets.options_greeks
WHERE date = (SELECT max(date) FROM global_markets.options_greeks WHERE date >= today() - 30)
AND option_type IN ('call', 'C')
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 7 AND 365
AND toFloat64(underlying_close) >= 5
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
AND underlying_symbol NOT IN ('SPCX')
GROUP BY dte_bucket
ORDER BY min(days_to_expiry)
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