STRASMORE/EXPLORE 2,170 QUERIES

Average call delta by strike versus spot, one week or less to expiration

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 2026-08-22, from Trading Options Inside an IRA: How It Works.

as of ranking 6×3read in context →
Average call delta by strike versus spot, one week or less to expiration — 6 rows by 3 columns, computed from US exchange, SIP and OPRA data.
strike_vs_spotavg_deltacontract_count
4%+ OTM0.012165
2-4% OTM0.043107
0-2% OTM0.21103
0-2% ITM0.80499
2-4% ITM0.95275
4%+ ITM0.98156
Rows × columns
6 × 3
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for Average call delta by strike versus spot, one week or less to expiration, derived from the stored result.
ColumnTypeRangeNotes
strike_vs_spot text 6 distinct values (0-2% ITM, 0-2% OTM, 2-4% ITM…)
avg_delta number 0.012 to 0.98
contract_count number 75 to 165 count

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 toFloat64(underlying_close) / toFloat64(strike_price) - 1 AS moneyness
SELECT
    multiIf(moneyness < -0.04, '4%+ OTM',
            moneyness < -0.02, '2-4% OTM',
            moneyness <  0.00, '0-2% OTM',
            moneyness <  0.02, '0-2% ITM',
            moneyness <  0.04, '2-4% ITM',
                               '4%+ ITM')  AS strike_vs_spot,
    round(avg(abs(delta)), 3)              AS avg_delta,
    count()                                AS contract_count
FROM global_markets.options_greeks
WHERE date = (
        SELECT max(date)
        FROM global_markets.options_greeks
        WHERE underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'SPY', 'KO', 'T')
      )
  AND lower(toString(option_type)) IN ('call', 'c')
  AND days_to_expiry BETWEEN 0 AND 7
  AND toFloat64(strike_price) > 0
  AND toFloat64(underlying_close) > 0
  AND abs(delta) > 0
  AND abs(moneyness) < 0.20
  AND underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'SPY', 'KO', 'T')
GROUP BY strike_vs_spot
ORDER BY min(moneyness)

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