STRASMORE/EXPLORE 2,549 QUERIES

delta_curve

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 2026-09-24, from what-is-options-trading.

as of ranking 21×3read in context →
delta_curve — 21 rows by 3 columns, computed from US exchange, SIP and OPRA data.
moneynessdeltaiv_pct
0.90.87934.2
0.910.84636.1
0.920.83833.5
0.930.82730.8
0.940.80827.5
0.950.75131.5
0.960.73527.1
0.970.6828.6
0.980.63926.5
0.990.58326
10.54125.4
1.010.46525.3
1.020.41924.2
1.030.36224.6
1.040.31525
1.050.26623.8
1.060.21324.1
1.070.19224.7
1.080.14524.2
1.090.12524.4
1.10.10324.3
Rows × columns
21 × 3
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 delta_curve, derived from the stored result.
ColumnTypeRangeNotes
moneyness text 21 distinct values (0.9, 0.91, 0.92…)
delta number 0.103 to 0.879
iv_pct number 23.8 to 36.1 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 , 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
    moneyness,
    round(avg(row_delta), 3)    AS delta,
    round(avg(row_iv) * 100, 1) AS iv_pct
FROM
(
    SELECT
        toString(round(toFloat64(strike_price) / toFloat64(underlying_close), 2)) AS moneyness,
        toFloat64(delta)                                                          AS row_delta,
        toFloat64(implied_volatility)                                             AS row_iv
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'AAPL'
      AND date BETWEEN '2026-06-01' AND '2026-06-30'
      AND iv_converged = 1
      AND volume > 0
      AND delta > 0
      AND days_to_expiry BETWEEN 25 AND 35
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) <= 0.10
)
GROUP BY moneyness
ORDER BY moneyness
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