premium_term_structure
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 2026-09-25, from stocks-with-the-highest-option-premiums.
| dte_bucket | premium_pct_of_strike | sqrt_time_estimate_pct |
|---|---|---|
| 07-14d | 2.65 | 2.6 |
| 15-30d | 4.37 | 4.29 |
| 31-60d | 6.85 | 6.64 |
| 61-120d | 9.43 | 8.99 |
| 121-365d | 14.29 | 13.36 |
- 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 | 2.65 to 14.29 | percent |
sqrt_time_estimate_pct |
number | 2.6 to 13.36 | 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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