chain

Name: chain
Creator: Strasmore
Published: 2026-09-19
License: https://www.strasmore.com/terms/

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 2026-09-19, from what-is-a-risk-reversal.

as of 2026-09-19 table 28×5read in context →

chain — 28 rows by 5 columns, computed 2026-09-19 from US exchange, SIP and OPRA data.
strike	side	delta_abs	iv_pct	premium
$285	put	0.089	35.95	1.49
$290	put	0.113	35.01	1.93
$295	put	0.14	33.92	2.45
$300	put	0.175	33.02	3.15
$305	put	0.217	32.22	4.05
$310	put	0.268	31.69	5.25
$312.5	put	0.292	30.69	5.7
$315	put	0.324	31.07	6.68
$317.5	put	0.346	28.41	6.66
$320	put	0.387	30.57	8.44
$322.5	put	0.414	27.16	8.25
$325	put	0.453	30.02	10.5
$327.5	call	0.513	31.01	11.75
$330	call	0.479	30.48	10.4
$332.5	call	0.446	30.47	9.33
$335	call	0.412	30.07	8.2
$337.5	call	0.379	29.91	7.24
$340	call	0.347	29.92	6.42
$342.5	call	0.317	29.8	5.63
$345	call	0.284	29.31	4.79
$347.5	call	0.267	30.63	4.6
$350	call	0.231	29.33	3.65
$352.5	call	0.206	29.27	3.15
$355	call	0.187	29.57	2.8
$357.5	call	0.157	28.57	2.18
$360	call	0.14	28.86	1.92
$365	call	0.108	28.87	1.39
$370	call	0.09	30.06	1.17

Rows × columns: 28 × 5
Computed: 2026-09-19
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 chain, derived from the stored result.
Column	Type	Range	Notes
`strike`	text	28 distinct values ($285, $290, $295…)
`side`	text	2 distinct values (call, put)
`delta_abs`	number	0.089 to 0.513
`iv_pct`	number	27.16 to 35.95	percent
`premium`	number	1.17 to 11.75	US dollars

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 2026-09-19, and the query below is what returned them.

the exact SQL behind every number

SELECT
    concat('$', toString(round(toFloat64(strike_price), 2)))   AS strike,
    if(any(delta) < 0, 'put', 'call')                          AS side,
    round(abs(any(delta)), 3)                                  AS delta_abs,
    round(100 * any(implied_volatility), 2)                    AS iv_pct,
    round(toFloat64(any(option_close)), 2)                     AS premium
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
  AND date = '2026-07-20'
  AND expiration_date = '2026-08-21'
  AND iv_converged = 1
  AND volume > 0
  AND abs(delta) BETWEEN 0.08 AND 0.55
  AND ((delta < 0 AND toFloat64(strike_price) < toFloat64(underlying_close))
       OR (delta > 0 AND toFloat64(strike_price) > toFloat64(underlying_close)))
GROUP BY strike_price
ORDER BY strike_price

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