{"slug":"what-is-vanna-and-charm-exposure","qid":"expiry_trace","label":"expiry_trace","post_title":"what-is-vanna-and-charm-exposure","post_url":"/blog/lang/ja/what-is-vanna-and-charm-exposure#q-expiry_trace","columns":["session_date","session_label","below_spot_call_delta","above_spot_call_delta","delta_gap"],"rows":[{"session_date":"2026-06-01","session_label":"6月1日","below_spot_call_delta":0.81,"above_spot_call_delta":0.367,"delta_gap":0.444},{"session_date":"2026-06-02","session_label":"6月2日","below_spot_call_delta":0.89,"above_spot_call_delta":0.406,"delta_gap":0.484},{"session_date":"2026-06-03","session_label":"6月3日","below_spot_call_delta":0.735,"above_spot_call_delta":0.256,"delta_gap":0.479},{"session_date":"2026-06-04","session_label":"6月4日","below_spot_call_delta":0.796,"above_spot_call_delta":0.302,"delta_gap":0.494},{"session_date":"2026-06-05","session_label":"6月5日","below_spot_call_delta":0.601,"above_spot_call_delta":0.072,"delta_gap":0.529},{"session_date":"2026-06-08","session_label":"6月8日","below_spot_call_delta":0.651,"above_spot_call_delta":0.07,"delta_gap":0.581},{"session_date":"2026-06-09","session_label":"6月9日","below_spot_call_delta":0.627,"above_spot_call_delta":0.06,"delta_gap":0.566},{"session_date":"2026-06-10","session_label":"6月10日","below_spot_call_delta":0.425,"above_spot_call_delta":0.024,"delta_gap":0.401},{"session_date":"2026-06-11","session_label":"6月11日","below_spot_call_delta":0.725,"above_spot_call_delta":0.067,"delta_gap":0.659},{"session_date":"2026-06-12","session_label":"6月12日","below_spot_call_delta":0.797,"above_spot_call_delta":0.046,"delta_gap":0.752},{"session_date":"2026-06-15","session_label":"6月15日","below_spot_call_delta":0.907,"above_spot_call_delta":0.155,"delta_gap":0.752},{"session_date":"2026-06-16","session_label":"6月16日","below_spot_call_delta":0.916,"above_spot_call_delta":0.072,"delta_gap":0.844}],"shape":"series","sql":"WITH\n(\n    SELECT argMax(toFloat64(underlying_close), date)\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'SPY'\n      AND date >= '2026-06-15'\n      AND date <= '2026-06-19'\n) AS expiry_spot\nSELECT\n    toString(date)                                                                  AS session_date,\n    concat(toString(toMonth(date)), '月', toString(toDayOfMonth(date)), '日')        AS session_label,\n    round(avgIf(toFloat64(delta), toFloat64(strike_price) < expiry_spot * 0.99), 3)  AS below_spot_call_delta,\n    round(avgIf(toFloat64(delta), toFloat64(strike_price) > expiry_spot * 1.01), 3)  AS above_spot_call_delta,\n    round(avgIf(toFloat64(delta), toFloat64(strike_price) < expiry_spot * 0.99)\n        - avgIf(toFloat64(delta), toFloat64(strike_price) > expiry_spot * 1.01), 3)  AS delta_gap\nFROM global_markets.options_greeks\nWHERE underlying_symbol = 'SPY'\n  AND lower(toString(option_type)) LIKE 'c%'\n  AND expiration_date = '2026-06-18'\n  AND date >= '2026-06-01'\n  AND date <= '2026-06-19'\n  AND iv_converged = 1\n  AND volume > 0\n  AND abs(toFloat64(strike_price) / expiry_spot - 1) < 0.04\nGROUP BY date\nHAVING countIf(toFloat64(strike_price) < expiry_spot * 0.99) >= 3\n   AND countIf(toFloat64(strike_price) > expiry_spot * 1.01) >= 3\nORDER BY date","computed_at":"2026-09-27T15:20:15.663352+00:00","elapsed":0.055457727}