STRASMORE/EXPLORE 2,401 QUERIES

structure

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 table 3×6read in context →
structure — 3 rows by 6 columns, computed from US exchange, SIP and OPRA data.
componentstrikedeltaiv_pctpremium_per_sharestock_close
short put (premium received)$310-0.26831.695.25$326
long call (premium paid)$347.50.26730.634.6$326
net credit0.5351.070.65$326
Rows × columns
3 × 6
Computed
Completeness
Some fields are partly empty — see the columns below
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 structure, derived from the stored result.
ColumnTypeRangeNotes
component text 3 distinct values
strike text 2 distinct values ($310, $347.5) 2 of 3 rows populated
delta number -0.268 to 0.535
iv_pct number 1.07 to 31.69 percent
premium_per_share number 0.65 to 5.25 US dollars
stock_close text 1 distinct value ($326)

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.

the exact SQL behind every number 
SELECT
    multiIf(ord = 1, 'short put (premium received)',
            ord = 2, 'long call (premium paid)',
            net >= 0, 'net credit', 'net debit')                                        AS component,
    multiIf(ord = 1, concat('$', toString(put_strike)),
            ord = 2, concat('$', toString(call_strike)), '')                            AS strike,
    round(multiIf(ord = 1, put_delta, ord = 2, call_delta, call_delta - put_delta), 3) AS delta,
    round(100 * multiIf(ord = 1, put_iv, ord = 2, call_iv, put_iv - call_iv), 2)      AS iv_pct,
    round(multiIf(ord = 1, put_premium, ord = 2, call_premium, abs(net)), 2)          AS premium_per_share,
    concat('$', toString(round(spot, 2)))                                             AS stock_close
FROM
(
    SELECT
        arrayJoin([1, 2, 3])          AS ord,
        put_strike, put_delta, put_iv, put_premium,
        call_strike, call_delta, call_iv, call_premium,
        put_premium - call_premium    AS net,
        spot
    FROM
    (
        SELECT
            anyIf(strike, side = 'put')     AS put_strike,
            anyIf(delta, side = 'put')      AS put_delta,
            anyIf(iv, side = 'put')         AS put_iv,
            anyIf(premium, side = 'put')    AS put_premium,
            anyIf(strike, side = 'call')    AS call_strike,
            anyIf(delta, side = 'call')     AS call_delta,
            anyIf(iv, side = 'call')        AS call_iv,
            anyIf(premium, side = 'call')   AS call_premium,
            any(spot)                       AS spot
        FROM
        (
            SELECT
                if(delta < 0, 'put', 'call')   AS side,
                toFloat64(strike_price)        AS strike,
                delta,
                implied_volatility             AS iv,
                toFloat64(option_close)        AS premium,
                toFloat64(underlying_close)    AS spot
            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
            ORDER BY abs(abs(delta) - 0.25)
            LIMIT 1 BY side
        )
    )
)
ORDER BY ord

Run your own version of this

The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.

More from this analysiswhat-is-a-risk-reversal
chain table 28×5 → payoff table 11×5 → desk_rr table 3×6 → The 2s10s spread, every print of the half table 124×2 → The 2s10s spread, every print of the half table 124×2 → Every half-year since 1976: the 2y and 10y change, the twist between them, and the half's lowest 2s10s print table 100×7 → See all 2,401 queries →