expiry_trace

Name: expiry_trace
Creator: Strasmore
Published: 2026-09-27
License: https://www.strasmore.com/terms/

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 2026-09-27, from what-is-vanna-and-charm-exposure.

as of 2026-09-27 series 12×5read in context →

expiry_trace — 12 rows by 5 columns, computed 2026-09-27 from US exchange, SIP and OPRA data.
session_date	session_label	below_spot_call_delta	above_spot_call_delta	delta_gap
2026-06-01	6月1日	0.81	0.367	0.444
2026-06-02	6月2日	0.89	0.406	0.484
2026-06-03	6月3日	0.735	0.256	0.479
2026-06-04	6月4日	0.796	0.302	0.494
2026-06-05	6月5日	0.601	0.072	0.529
2026-06-08	6月8日	0.651	0.07	0.581
2026-06-09	6月9日	0.627	0.06	0.566
2026-06-10	6月10日	0.425	0.024	0.401
2026-06-11	6月11日	0.725	0.067	0.659
2026-06-12	6月12日	0.797	0.046	0.752
2026-06-15	6月15日	0.907	0.155	0.752
2026-06-16	6月16日	0.916	0.072	0.844

Rows × columns: 12 × 5
Period covered: 2026-06-01 to 2026-06-16
Computed: 2026-09-27
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 expiry_trace, derived from the stored result.
Column	Type	Range
`session_date`	date	2026-06-01 to 2026-06-16
`session_label`	text	12 distinct values (6月10日, 6月11日, 6月12日…)
`below_spot_call_delta`	number	0.425 to 0.916
`above_spot_call_delta`	number	0.024 to 0.406
`delta_gap`	number	0.401 to 0.844

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 2026-09-27, 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.

WITH
(
    SELECT argMax(toFloat64(underlying_close), date)
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= '2026-06-15'
      AND date <= '2026-06-19'
) AS expiry_spot
SELECT
    toString(date)                                                                  AS session_date,
    concat(toString(toMonth(date)), '月', toString(toDayOfMonth(date)), '日')        AS session_label,
    round(avgIf(toFloat64(delta), toFloat64(strike_price) < expiry_spot * 0.99), 3)  AS below_spot_call_delta,
    round(avgIf(toFloat64(delta), toFloat64(strike_price) > expiry_spot * 1.01), 3)  AS above_spot_call_delta,
    round(avgIf(toFloat64(delta), toFloat64(strike_price) < expiry_spot * 0.99)
        - avgIf(toFloat64(delta), toFloat64(strike_price) > expiry_spot * 1.01), 3)  AS delta_gap
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
  AND lower(toString(option_type)) LIKE 'c%'
  AND expiration_date = '2026-06-18'
  AND date >= '2026-06-01'
  AND date <= '2026-06-19'
  AND iv_converged = 1
  AND volume > 0
  AND abs(toFloat64(strike_price) / expiry_spot - 1) < 0.04
GROUP BY date
HAVING countIf(toFloat64(strike_price) < expiry_spot * 0.99) >= 3
   AND countIf(toFloat64(strike_price) > expiry_spot * 1.01) >= 3
ORDER BY date

SQL to run

WITH
(
    SELECT argMax(toFloat64(underlying_close), date)
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= '2026-06-15'
      AND date <= '2026-06-19'
) AS expiry_spot
SELECT
    toString(date)                                                                  AS session_date,
    concat(toString(toMonth(date)), '月', toString(toDayOfMonth(date)), '日')        AS session_label,
    round(avgIf(toFloat64(delta), toFloat64(strike_price) < expiry_spot * 0.99), 3)  AS below_spot_call_delta,
    round(avgIf(toFloat64(delta), toFloat64(strike_price) > expiry_spot * 1.01), 3)  AS above_spot_call_delta,
    round(avgIf(toFloat64(delta), toFloat64(strike_price) < expiry_spot * 0.99)
        - avgIf(toFloat64(delta), toFloat64(strike_price) > expiry_spot * 1.01), 3)  AS delta_gap
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
  AND lower(toString(option_type)) LIKE 'c%'
  AND expiration_date = '2026-06-18'
  AND date >= '2026-06-01'
  AND date <= '2026-06-19'
  AND iv_converged = 1
  AND volume > 0
  AND abs(toFloat64(strike_price) / expiry_spot - 1) < 0.04
GROUP BY date
HAVING countIf(toFloat64(strike_price) < expiry_spot * 0.99) >= 3
   AND countIf(toFloat64(strike_price) > expiry_spot * 1.01) >= 3
ORDER BY date

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