gamma_wall

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.

WITH (
    SELECT max(date)
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'NVDA'
      AND date >= today() - 30
) AS latest_day
SELECT
    round(toFloat64(strike_price), 2)                                      AS strike,
    concat(toString(toYear(latest_day)), '年',
           toString(toMonth(latest_day)), '月',
           toString(toDayOfMonth(latest_day)), '日')                        AS as_of,
    round(sum(toFloat64(gamma) * toFloat64(volume)) * 100, 0)               AS call_gamma_shares,
    round(sum(toFloat64(volume)), 0)                                        AS call_volume
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NVDA'
  AND option_type IN ('call', 'C')
  AND date = latest_day
  AND iv_converged = 1
  AND volume > 0
  AND days_to_expiry BETWEEN 1 AND 10
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.08
GROUP BY strike
HAVING sum(volume) > 1000
ORDER BY strike