Call delta by moneyness: the S-curve (SPY, ~30 days out, 2026-07-13)
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 2026-07-15, from What Is Option Delta? A Plain-English Guide.
| moneyness | avg_delta |
|---|---|
| deep ITM (>4% in) | 0.87 |
| ITM (1.5-4% in) | 0.71 |
| ATM (within 1.5%) | 0.53 |
| OTM (1.5-4% out) | 0.26 |
| deep OTM (>4% out) | 0.05 |
- Rows × columns
- 5 × 2
- 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 |
|---|---|---|---|
moneyness |
text | 5 distinct values | |
avg_delta |
number | 0.05 to 0.87 |
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.
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SELECT multiIf((strike_price/underlying_close-1)<-0.04,'deep ITM (>4% in)',
(strike_price/underlying_close-1)<-0.015,'ITM (1.5-4% in)',
(strike_price/underlying_close-1)<0.015,'ATM (within 1.5%)',
(strike_price/underlying_close-1)<0.04,'OTM (1.5-4% out)',
'deep OTM (>4% out)') AS moneyness,
round(avg(delta), 2) AS avg_delta
FROM global_markets.options_greeks
WHERE date = '2026-07-13' AND underlying_symbol = 'SPY' AND option_type = 'C'
AND days_to_expiry BETWEEN 25 AND 40
GROUP BY moneyness ORDER BY avg(strike_price/underlying_close)
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