Where the close finished on a narrow call vertical set at 3:00 p.m. ET

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 bars AS (
    SELECT
        ticker                                                      AS symbol,
        toDate(toTimeZone(window_start, 'America/New_York'))        AS session_date,
        toHour(toTimeZone(window_start, 'America/New_York')) * 60
          + toMinute(toTimeZone(window_start, 'America/New_York'))  AS et_minute,
        toFloat64(close)                                            AS px
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'AMD', 'TSLA')
      AND window_start >= '2023-01-01 00:00:00'
      AND window_start <  '2026-09-01 00:00:00'
),
day_marks AS (
    SELECT
        symbol,
        session_date,
        anyIf(px, et_minute = 900) AS px_3pm,
        argMax(px, et_minute)      AS px_close
    FROM bars
    WHERE et_minute >= 570
      AND et_minute <= 959
    GROUP BY symbol, session_date
    HAVING px_3pm > 0
       AND px_close > 0
       AND max(et_minute) >= 955
),
verticals AS (
    SELECT
        symbol,
        px_close,
        ceil(px_3pm * 1.005) AS short_strike,
        ceil(px_3pm * 1.030) AS long_strike
    FROM day_marks
    WHERE toDayOfWeek(session_date) = 5
)
SELECT
    symbol,
    count()                                                                                      AS expiration_count,
    round(100 * countIf(px_close <= short_strike) / count(), 1)                                  AS both_legs_worthless_pct,
    round(100 * countIf(px_close > short_strike AND px_close < long_strike) / count(), 1)         AS between_strikes_pct,
    round(100 * countIf(px_close >= long_strike) / count(), 1)                                    AS both_legs_itm_pct
FROM verticals
WHERE long_strike > short_strike
GROUP BY symbol
ORDER BY between_strikes_pct DESC