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 2026-09-26, from Trading Options Inside an IRA: How It Works.
| strike_vs_spot | avg_delta | contract_count |
|---|---|---|
| 4%+ OTM | 0.01 | 262 |
| 2-4% OTM | 0.05 | 111 |
| 0-2% OTM | 0.268 | 106 |
| 0-2% ITM | 0.694 | 105 |
| 2-4% ITM | 0.839 | 86 |
| 4%+ ITM | 0.921 | 307 |
- Rows × columns
- 6 × 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 |
|---|---|---|---|
strike_vs_spot |
text | 6 distinct values (0-2% ITM, 0-2% OTM, 2-4% ITM…) | |
avg_delta |
number | 0.01 to 0.921 | |
contract_count |
number | 86 to 307 | 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.
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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.
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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