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

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