theta_curve
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 2026-10-04, from us-stock-options-for-israeli-investors.
| dte_bucket | iv_pct | theta_decay_pct |
|---|---|---|
| 2-5 | 16.7 | 15.36 |
| 6-10 | 19 | 8.73 |
| 11-20 | 19.2 | 4.48 |
| 21-45 | 20.9 | 1.75 |
| 46-90 | 20.5 | 0.84 |
| 91+ | 23.3 | 0.34 |
- 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 |
|---|---|---|---|
dte_bucket |
text | 6 distinct values (11-20, 2-5, 21-45…) | |
iv_pct |
number | 16.7 to 23.3 | percent |
theta_decay_pct |
number | 0.34 to 15.36 | 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.
WITH (SELECT max(date) FROM global_markets.options_greeks) AS latest_day
SELECT
multiIf(days_to_expiry <= 5, '2-5',
days_to_expiry <= 10, '6-10',
days_to_expiry <= 20, '11-20',
days_to_expiry <= 45, '21-45',
days_to_expiry <= 90, '46-90',
'91+') AS dte_bucket,
round(avg(implied_volatility) * 100, 1) AS iv_pct,
round(avg(toFloat64(theta) / toFloat64(option_close)) * -100, 2) AS theta_decay_pct
FROM global_markets.options_greeks
WHERE date = latest_day
AND underlying_symbol IN ('AAPL', 'MSFT', 'NVDA', 'AMZN', 'GOOGL', 'TSLA', 'SPY', 'QQQ', 'TEVA')
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 2 AND 365
AND toFloat64(option_close) > 0.10
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
GROUP BY dte_bucket
HAVING count() >= 5
ORDER BY min(days_to_expiry)
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