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Average rho on long-dated SPY options, by strike against the share price

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 2026-08-07, from What Is Option Rho? The Interest Rate Greek.

as of ranking 7×4read in context →
Average rho on long-dated SPY options, by strike against the share price — 7 rows by 4 columns, computed from US exchange, SIP and OPRA data.
moneyness_bucketcall_rhoput_rhocontract_count
strike 10%+ below6.411-2.3913758
strike 5-10% below6.21-3.4032284
strike 2-5% below5.96-4.0061411
strike within 2%5.682-4.7412350
strike 2-5% above5.051-5.4821255
strike 5-10% above4.617-6.3372113
strike 10%+ above3.433-7.5722836
Rows × columns
7 × 4
Computed
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 Average rho on long-dated SPY options, by strike against the share price, derived from the stored result.
ColumnTypeRangeNotes
moneyness_bucket text 7 distinct values
call_rho number 3.433 to 6.411
put_rho number -7.572 to -2.391
contract_count number 1,255 to 3,758 count

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(toFloat64(strike_price) / toFloat64(underlying_close) - 1 < -0.10, 'strike 10%+ below',
            toFloat64(strike_price) / toFloat64(underlying_close) - 1 < -0.05, 'strike 5-10% below',
            toFloat64(strike_price) / toFloat64(underlying_close) - 1 < -0.02, 'strike 2-5% below',
            toFloat64(strike_price) / toFloat64(underlying_close) - 1 <  0.02, 'strike within 2%',
            toFloat64(strike_price) / toFloat64(underlying_close) - 1 <  0.05, 'strike 2-5% above',
            toFloat64(strike_price) / toFloat64(underlying_close) - 1 <  0.10, 'strike 5-10% above',
                                                                              'strike 10%+ above') AS moneyness_bucket,
    round(avgIf(rho, startsWith(lower(toString(option_type)), 'c')), 3)  AS call_rho,
    round(avgIf(rho, startsWith(lower(toString(option_type)), 'p')), 3)  AS put_rho,
    count()                                                              AS contract_count
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
  AND date >= '2026-05-01'
  AND date <  '2026-08-01'
  AND iv_converged = 1
  AND volume > 0
  AND days_to_expiry BETWEEN 366 AND 760
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.20
GROUP BY moneyness_bucket
HAVING countIf(startsWith(lower(toString(option_type)), 'c')) > 0
   AND countIf(startsWith(lower(toString(option_type)), 'p')) > 0
ORDER BY min(toFloat64(strike_price) / toFloat64(underlying_close))

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