How much of a modelled credit survives one volatility point of vega
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.
| dte_band | contract_count | avg_credit | haircut_pct | credit_retained_pct |
|---|---|---|---|---|
| 01-07 days to expiry | 383995 | 7.41 | 5.9 | 94.1 |
| 08-14 days to expiry | 460241 | 7.27 | 8.1 | 91.9 |
| 15-21 days to expiry | 253028 | 8.83 | 7 | 93 |
| 22-30 days to expiry | 315747 | 10 | 7.3 | 92.7 |
| 31-45 days to expiry | 398604 | 11.59 | 7.2 | 92.8 |
| 46-60 days to expiry | 151323 | 13.96 | 7 | 93 |
- Rows × columns
- 6 × 5
- 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_band |
text | 6 distinct values | |
contract_count |
number | 151,323 to 460,241 | count |
avg_credit |
number | 7.27 to 13.96 | |
haircut_pct |
number | 5.9 to 8.1 | percent |
credit_retained_pct |
number | 91.9 to 94.1 | 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.
SELECT
multiIf(days_to_expiry <= 7, '01-07 days to expiry',
days_to_expiry <= 14, '08-14 days to expiry',
days_to_expiry <= 21, '15-21 days to expiry',
days_to_expiry <= 30, '22-30 days to expiry',
days_to_expiry <= 45, '31-45 days to expiry',
'46-60 days to expiry') AS dte_band,
count() AS contract_count,
round(avg(toFloat64(option_close)), 2) AS avg_credit,
round(100 * avg(toFloat64(vega) / toFloat64(option_close)), 1) AS haircut_pct,
round(100 - 100 * avg(toFloat64(vega) / toFloat64(option_close)), 1) AS credit_retained_pct
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO')
AND date >= '2021-08-01'
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 1 AND 60
AND toFloat64(option_close) >= 0.50
AND toFloat64(vega) > 0
AND toFloat64(underlying_close) > 0
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY dte_band
ORDER BY dte_band
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