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.
| moneyness_bucket | call_rho | put_rho | contract_count |
|---|---|---|---|
| strike 10%+ below | 6.411 | -2.391 | 3758 |
| strike 5-10% below | 6.21 | -3.403 | 2284 |
| strike 2-5% below | 5.96 | -4.006 | 1411 |
| strike within 2% | 5.682 | -4.741 | 2350 |
| strike 2-5% above | 5.051 | -5.482 | 1255 |
| strike 5-10% above | 4.617 | -6.337 | 2113 |
| strike 10%+ above | 3.433 | -7.572 | 2836 |
- Rows × columns
- 7 × 4
- 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_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.
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
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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