flip_by_dte
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 2026-09-23, from what-is-the-gamma-flip.
| dte_bucket | spot_close | flip_estimate |
|---|---|---|
| 0 to 1 days | 746.3 | 745 |
| 2 to 7 days | 746.3 | 744 |
| 8 to 30 days | 746.3 | 746 |
| 31 to 90 days | 746.3 | 745 |
- Rows × columns
- 4 × 3
- 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 | 4 distinct values (0 to 1 days, 2 to 7 days, 31 to 90 days…) | |
spot_close |
number | every row is 746.3 | US dollars |
flip_estimate |
number | 744 to 746 |
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
dte_bucket,
round(any(spot), 2) AS spot_close,
round(argMax(strike, running), 2) AS flip_estimate
FROM
(
SELECT
dte_bucket,
bucket_order,
spot,
strike,
sum(net_gamma) OVER (PARTITION BY dte_bucket ORDER BY strike) AS running
FROM
(
SELECT
multiIf(days_to_expiry <= 1, '0 to 1 days',
days_to_expiry <= 7, '2 to 7 days',
days_to_expiry <= 30, '8 to 30 days',
'31 to 90 days') AS dte_bucket,
multiIf(days_to_expiry <= 1, 1,
days_to_expiry <= 7, 2,
days_to_expiry <= 30, 3, 4) AS bucket_order,
toFloat64(strike_price) AS strike,
any(toFloat64(underlying_close)) AS spot,
sum(multiIf(lower(substring(option_type, 1, 1)) = 'c', -1.0, 1.0)
* toFloat64(gamma) * volume * 100) AS net_gamma
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date = (
SELECT max(date)
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date <= '2026-06-30'
)
AND iv_converged = 1
AND volume > 0
AND days_to_expiry <= 90
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.15
GROUP BY dte_bucket, bucket_order, strike
)
)
GROUP BY dte_bucket, bucket_order
ORDER BY bucket_order
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