STRASMORE/EXPLORE 3,171 QUERIES

In-the-money calls with extrinsic value below the upcoming dividend

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 2026-10-07, from What Breaks an Options Backtest.

as of table 5×5read in context →
In-the-money calls with extrinsic value below the upcoming dividend — 5 rows by 5 columns, computed from US exchange, SIP and OPRA data.
symbolcontracts_checkedbelow_dividendbelow_dividend_pctavg_dividend
JNJ62941766.31.221
KO71844161.40.481
PG106152449.40.972
MSFT276841114.80.792
AAPL272219070.244
Rows × columns
5 × 5
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 In-the-money calls with extrinsic value below the upcoming dividend, derived from the stored result.
ColumnTypeRangeNotes
symbol text 5 distinct values (AAPL, JNJ, KO…)
contracts_checked number 629 to 2,768 count
below_dividend number 190 to 524
below_dividend_pct number 7 to 66.3 percent
avg_dividend number 0.244 to 1.221

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
    symbol,
    count()                                                     AS contracts_checked,
    countIf(extrinsic < dividend)                               AS below_dividend,
    round(100 * countIf(extrinsic < dividend) / count(), 1)      AS below_dividend_pct,
    round(avg(dividend), 3)                                     AS avg_dividend
FROM
(
    SELECT
        g.underlying_symbol  AS symbol,
        g.ticker             AS contract,
        d.ex_dividend_date   AS ex_date,
        any(d.cash_amount)   AS dividend,
        argMax(toFloat64(g.option_close)
               - (toFloat64(g.underlying_close) - toFloat64(g.strike_price)),
               g.date)       AS extrinsic
    FROM global_markets.options_greeks AS g
    INNER JOIN
    (
        SELECT
            ticker,
            ex_dividend_date,
            max(toFloat64(cash_amount)) AS cash_amount
        FROM global_markets.stocks_dividends
        WHERE ticker IN ('KO', 'MSFT', 'AAPL', 'JNJ', 'PG')
          AND ex_dividend_date >= '2021-09-01'
          AND ex_dividend_date <  '2026-09-01'
        GROUP BY ticker, ex_dividend_date
    ) AS d ON d.ticker = g.underlying_symbol
    WHERE startsWith(lower(g.option_type), 'c')
      AND g.iv_converged = 1
      AND g.volume > 0
      AND g.days_to_expiry BETWEEN 1 AND 60
      AND toFloat64(g.underlying_close) > toFloat64(g.strike_price)
      AND g.date <  d.ex_dividend_date
      AND g.date >= d.ex_dividend_date - 4
    GROUP BY symbol, contract, ex_date
)
GROUP BY symbol
ORDER BY below_dividend_pct DESC
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