horizon_cost

Name: horizon_cost
Creator: Strasmore
Published: 2026-10-04
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 2026-10-04, from what-is-hedging.

as of 2026-10-04 ranking 6×4read in context →

horizon_cost — 6 rows by 4 columns, computed 2026-10-04 from US exchange, SIP and OPRA data.
dte_bucket	cost_pct_of_position	cost_pct_per_30_days	avg_iv_pct
7-14 days	0.08	0.23	19.4
15-30 days	0.27	0.36	18.3
31-60 days	0.58	0.41	17.9
61-120 days	1.2	0.42	17.9
121-240 days	2.07	0.39	18.4
241-400 days	3.49	0.33	19.5

Rows × columns: 6 × 4
Computed: 2026-10-04
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 horizon_cost, derived from the stored result.
Column	Type	Range	Notes
`dte_bucket`	text	6 distinct values (121-240 days, 15-30 days, 241-400 days…)
`cost_pct_of_position`	number	0.08 to 3.49	percent
`cost_pct_per_30_days`	number	0.23 to 0.42	percent
`avg_iv_pct`	number	17.9 to 19.5	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 2026-10-04, 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
    dte_bucket,
    round(avg(premium_pct), 2)                 AS cost_pct_of_position,
    round(avg(premium_pct) / avg(dte) * 30, 2) AS cost_pct_per_30_days,
    round(avg(iv) * 100, 1)                    AS avg_iv_pct
FROM
(
    SELECT
        multiIf(days_to_expiry <= 14,  '7-14 days',
                days_to_expiry <= 30,  '15-30 days',
                days_to_expiry <= 60,  '31-60 days',
                days_to_expiry <= 120, '61-120 days',
                days_to_expiry <= 240, '121-240 days',
                                       '241-400 days')              AS dte_bucket,
        toFloat64(option_close) / toFloat64(underlying_close) * 100  AS premium_pct,
        days_to_expiry                                              AS dte,
        implied_volatility                                          AS iv
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND lower(option_type) LIKE 'p%'
      AND iv_converged = 1
      AND volume > 0
      AND date >= '2026-09-01'
      AND date <  '2026-10-01'
      AND days_to_expiry BETWEEN 7 AND 400
      AND underlying_close > 0
      AND toFloat64(strike_price) / toFloat64(underlying_close) BETWEEN 0.94 AND 0.96
)
GROUP BY dte_bucket
ORDER BY min(dte)

SQL to run

SELECT
    dte_bucket,
    round(avg(premium_pct), 2)                 AS cost_pct_of_position,
    round(avg(premium_pct) / avg(dte) * 30, 2) AS cost_pct_per_30_days,
    round(avg(iv) * 100, 1)                    AS avg_iv_pct
FROM
(
    SELECT
        multiIf(days_to_expiry <= 14,  '7-14 days',
                days_to_expiry <= 30,  '15-30 days',
                days_to_expiry <= 60,  '31-60 days',
                days_to_expiry <= 120, '61-120 days',
                days_to_expiry <= 240, '121-240 days',
                                       '241-400 days')              AS dte_bucket,
        toFloat64(option_close) / toFloat64(underlying_close) * 100  AS premium_pct,
        days_to_expiry                                              AS dte,
        implied_volatility                                          AS iv
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND lower(option_type) LIKE 'p%'
      AND iv_converged = 1
      AND volume > 0
      AND date >= '2026-09-01'
      AND date <  '2026-10-01'
      AND days_to_expiry BETWEEN 7 AND 400
      AND underlying_close > 0
      AND toFloat64(strike_price) / toFloat64(underlying_close) BETWEEN 0.94 AND 0.96
)
GROUP BY dte_bucket
ORDER BY min(dte)

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