strike_ladder
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 vix-settlement-and-the-soq.
| moneyness_band | listed_strikes | traded_strikes |
|---|---|---|
| -20% to -16% | 12 | 12 |
| -16% to -12% | 21 | 21 |
| -12% to -8% | 31 | 31 |
| -8% to -4% | 31 | 31 |
| -4% to 0% | 32 | 32 |
| 0% to 4% | 31 | 31 |
| 4% to 8% | 20 | 20 |
| 8% to 12% | 5 | 5 |
| 12% to 16% | 6 | 6 |
| 16% to 20% | 1 | 1 |
- Rows × columns
- 10 × 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 |
|---|---|---|---|
moneyness_band |
text | 10 distinct values (-12% to -8%, -16% to -12%, -20% to -16%…) | |
listed_strikes |
number | 1 to 32 | |
traded_strikes |
number | 1 to 32 |
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
concat(toString(pct_band), '% to ', toString(pct_band + 4), '%') AS moneyness_band,
countDistinct(strike_price) AS listed_strikes,
countDistinctIf(strike_price, volume > 0) AS traded_strikes
FROM
(
SELECT
strike_price,
volume,
toInt32(floor((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 25) * 4) AS pct_band
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date = '2026-08-14'
AND expiration_date = '2026-09-18'
AND underlying_close > 0
)
WHERE pct_band BETWEEN -20 AND 16
GROUP BY pct_band
ORDER BY pct_band
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