gamma_by_strike
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.
| strike | call_gamma | put_gamma |
|---|---|---|
| 705 | 0.00523 | 0.00512 |
| 710 | 0.00575 | 0.00589 |
| 715 | 0.00653 | 0.00678 |
| 720 | 0.00766 | 0.00776 |
| 725 | 0.00844 | 0.00888 |
| 730 | 0.00946 | 0.01002 |
| 735 | 0.0107 | 0.01137 |
| 740 | 0.01198 | 0.01239 |
| 745 | 0.01268 | 0.01344 |
| 750 | 0.01377 | 0.0142 |
| 755 | 0.01379 | 0.01446 |
| 760 | 0.01364 | 0.01404 |
| 765 | 0.01253 | 0.01204 |
| 770 | 0.01118 | 0.0112 |
| 775 | 0.00929 | 0.00957 |
| 780 | 0.00745 | 0.00814 |
- Rows × columns
- 16 × 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 |
|---|---|---|---|
strike |
text | 16 distinct values (705, 710, 715…) | |
call_gamma |
number | 0.0052 to 0.0138 | |
put_gamma |
number | 0.0051 to 0.0145 |
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
toString(toInt32(strike_price)) AS strike,
round(avgIf(toFloat64(gamma), lower(substring(option_type, 1, 1)) = 'c'), 5) AS call_gamma,
round(avgIf(toFloat64(gamma), lower(substring(option_type, 1, 1)) = 'p'), 5) AS put_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 BETWEEN 20 AND 45
AND modulo(toInt32(strike_price), 5) = 0
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.06
GROUP BY strike_price
HAVING countIf(lower(substring(option_type, 1, 1)) = 'c') > 0
AND countIf(lower(substring(option_type, 1, 1)) = 'p') > 0
ORDER BY strike_price
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