Theta and vega across expiry bands, near the money AAPL
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 2026-09-20, from What Is a Calendar Spread in Options?.
| dte_band | theta_per_day_abs | vega_per_iv_point |
|---|---|---|
| 1-10 DTE | 0.341 | 0.1121 |
| 11-25 DTE | 0.1866 | 0.2324 |
| 26-45 DTE | 0.1329 | 0.3759 |
| 46-90 DTE | 0.1068 | 0.5203 |
| 91-180 DTE | 0.0784 | 0.7328 |
| 181+ DTE | 0.0571 | 1.0746 |
- Rows × columns
- 6 × 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 |
|---|---|---|---|
dte_band |
text | 6 distinct values (1-10 DTE, 11-25 DTE, 181+ DTE…) | |
theta_per_day_abs |
number | 0.0571 to 0.341 | |
vega_per_iv_point |
number | 0.1121 to 1.0746 | ratio or rate |
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 <= 10, '1-10 DTE',
days_to_expiry <= 25, '11-25 DTE',
days_to_expiry <= 45, '26-45 DTE',
days_to_expiry <= 90, '46-90 DTE',
days_to_expiry <= 180, '91-180 DTE',
'181+ DTE') AS dte_band,
round(avg(abs(theta)), 4) AS theta_per_day_abs,
round(avg(abs(vega)), 4) AS vega_per_iv_point
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
AND date >= today() - 30
AND date <= today() - 2
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 1 AND 400
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY dte_band
ORDER BY min(days_to_expiry)