Average SPY option rho by time to expiration, indexed to the front month
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.
| dte_bucket | call_rho_ratio | put_rho_ratio | contract_count |
|---|---|---|---|
| 21-45d | 1 | 1 | 20031 |
| 46-90d | 2.12 | 2.05 | 13449 |
| 91-180d | 4.32 | 4.01 | 9212 |
| 181-365d | 8.39 | 7.7 | 5532 |
| 366-545d | 14.77 | 13.33 | 1639 |
| 546-760d | 20.26 | 18.12 | 1595 |
- Rows × columns
- 6 × 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 |
|---|---|---|---|
dte_bucket |
text | 6 distinct values (181-365d, 21-45d, 366-545d…) | |
call_rho_ratio |
number | 1 to 20.26 | ratio or rate |
put_rho_ratio |
number | 1 to 18.12 | ratio or rate |
contract_count |
number | 1,595 to 20,031 | 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
b.dte_bucket AS dte_bucket,
round(b.call_rho / f.front_call_rho, 2) AS call_rho_ratio,
round(b.put_rho / f.front_put_rho, 2) AS put_rho_ratio,
b.contract_count AS contract_count
FROM
(
SELECT
multiIf(days_to_expiry <= 45, '21-45d',
days_to_expiry <= 90, '46-90d',
days_to_expiry <= 180, '91-180d',
days_to_expiry <= 365, '181-365d',
days_to_expiry <= 545, '366-545d',
'546-760d') AS dte_bucket,
min(days_to_expiry) AS sort_key,
avgIf(rho, startsWith(lower(toString(option_type)), 'c')) AS call_rho,
avgIf(rho, startsWith(lower(toString(option_type)), 'p')) 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 21 AND 760
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.03
GROUP BY dte_bucket
HAVING countIf(startsWith(lower(toString(option_type)), 'c')) > 0
AND countIf(startsWith(lower(toString(option_type)), 'p')) > 0
) AS b
CROSS JOIN
(
SELECT
avgIf(rho, startsWith(lower(toString(option_type)), 'c')) AS front_call_rho,
avgIf(rho, startsWith(lower(toString(option_type)), 'p')) AS front_put_rho
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 21 AND 45
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.03
) AS f
ORDER BY b.sort_key
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