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Theta (daily decay) against days to expiry, across the call's life

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 2026-07-16, from What Are LEAPS? Long-Dated Options.

as of series 4×3read in context →
Theta (daily decay) against days to expiry, across the call's life — 4 rows by 3 columns, computed from US exchange, SIP and OPRA data.
datethetadte
2024-01-02-0.03745
2024-12-09-0.085403
2025-10-09-0.1299
2026-01-14-0.7952
Rows × columns
4 × 3
Period covered
to
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 Theta (daily decay) against days to expiry, across the call's life, derived from the stored result.
ColumnTypeRangeNotes
date date 2024-01-02 to 2026-01-14
theta number -0.795 to -0.03
dte number 2 to 745

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 
SELECT date,
       round(avg(theta), 3) AS theta,
       round(avg(days_to_expiry)) AS dte
FROM global_markets.options_greeks
WHERE ticker = 'O:SPY260116C00600000' AND date IN ('2024-01-02', '2024-12-09', '2025-10-09', '2026-01-14') AND implied_volatility > 0.02
GROUP BY date ORDER BY date

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