Median greeks by time to expiration: every near-the-money US option, July 15, 2026
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 2026-08-15, from The Option Greeks Explained: Delta to Rho.
| time_left | contracts | median_abs_delta | median_gamma | median_theta | median_vega |
|---|---|---|---|---|---|
| 0-7 days | 14679 | 0.44 | 0.0592 | -0.329 | 0.027 |
| 8-30 days | 23242 | 0.48 | 0.0278 | -0.152 | 0.106 |
| 31-90 days | 15401 | 0.49 | 0.0239 | -0.07 | 0.142 |
| 91-365 days | 12037 | 0.53 | 0.0106 | -0.041 | 0.317 |
| Over a year | 2682 | 0.64 | 0.0034 | -0.03 | 0.753 |
- Rows × columns
- 5 × 6
- 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 |
|---|---|---|---|
time_left |
text | 5 distinct values (0-7 days, 31-90 days, 8-30 days…) | |
contracts |
number | 2,682 to 23,242 | count |
median_abs_delta |
number | 0.44 to 0.64 | |
median_gamma |
number | 0.0034 to 0.0592 | |
median_theta |
number | -0.329 to -0.03 | |
median_vega |
number | 0.027 to 0.753 |
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 <= 7, '0-7 days', days_to_expiry <= 30, '8-30 days',
days_to_expiry <= 90, '31-90 days', days_to_expiry <= 365, '91-365 days', 'Over a year') AS time_left,
count() AS contracts,
round(quantileExact(0.5)(abs(delta)), 2) AS median_abs_delta,
round(quantileExact(0.5)(gamma), 4) AS median_gamma,
round(quantileExact(0.5)(theta), 3) AS median_theta,
round(quantileExact(0.5)(vega), 3) AS median_vega
FROM global_markets.options_greeks
WHERE date = toDate('2026-07-15') AND iv_converged
AND implied_volatility BETWEEN 0.02 AND 5
AND abs(strike_price / underlying_close - 1) <= 0.05
GROUP BY time_left
ORDER BY min(days_to_expiry)
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