vanna_curve

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 daily AS
(
    SELECT
        ticker,
        expiration_date,
        strike_price,
        date,
        toFloat64(delta)                                          AS delta,
        multiIf(toFloat64(implied_volatility) > 1.5,
                toFloat64(implied_volatility),
                toFloat64(implied_volatility) * 100)              AS iv_pt,
        toFloat64(underlying_close)                               AS spot,
        toFloat64(strike_price) / toFloat64(underlying_close) - 1 AS moneyness
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND lower(toString(option_type)) LIKE 'c%'
      AND date >= '2025-09-01'
      AND date <  '2026-09-01'
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 20 AND 45
),
steps AS
(
    SELECT
        ticker,
        date,
        moneyness,
        delta - lagInFrame(delta) OVER (PARTITION BY ticker, expiration_date, strike_price ORDER BY date)     AS delta_change,
        iv_pt - lagInFrame(iv_pt) OVER (PARTITION BY ticker, expiration_date, strike_price ORDER BY date)     AS iv_change_pt,
        spot  / lagInFrame(spot)  OVER (PARTITION BY ticker, expiration_date, strike_price ORDER BY date) - 1 AS spot_change,
        dateDiff('day', lagInFrame(date) OVER (PARTITION BY ticker, expiration_date, strike_price ORDER BY date), date) AS gap_days
    FROM daily
)
SELECT
    multiIf(moneyness < -0.05,  'ITM 5-12%',
            moneyness < -0.02,  'ITM 2-5%',
            moneyness < -0.005, 'ITM 0.5-2%',
            moneyness <  0.005, 'ATM 0.5%以内',
            moneyness <  0.02,  'OTM 0.5-2%',
            moneyness <  0.05,  'OTM 2-5%',
                                'OTM 5-12%')                       AS moneyness_band,
    round(quantileDeterministic(0.5)(delta_change / iv_change_pt,
                                     cityHash64(ticker, date)), 4)  AS delta_shift_per_vol_point,
    count()                                                        AS pair_count
FROM steps
WHERE gap_days = 1
  AND abs(spot_change) < 0.002
  AND abs(iv_change_pt) >= 0.4
  AND abs(moneyness) <= 0.12
GROUP BY moneyness_band
HAVING count() >= 10
ORDER BY min(moneyness)