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AAPL calls 1 to 5 percent in the money, by days left to expiry

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 2026-08-22, from When Short Options Get Assigned Early.

as of ranking 6×4read in context →
AAPL calls 1 to 5 percent in the money, by days left to expiry — 6 rows by 4 columns, computed from US exchange, SIP and OPRA data.
dte_bucketavg_vegaavg_deltacontracts
under 2 days0.0370.83182
2 to 3 days0.0620.814236
4 to 7 days0.1080.775547
8 to 14 days0.1670.734887
15 to 30 days0.2490.699639
31 to 60 days0.370.664493
Rows × columns
6 × 4
Computed
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 AAPL calls 1 to 5 percent in the money, by days left to expiry, derived from the stored result.
ColumnTypeRangeNotes
dte_bucket text 6 distinct values
avg_vega number 0.037 to 0.37
avg_delta number 0.664 to 0.831
contracts number 82 to 887 count

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.

the exact SQL behind every number
SELECT
    dte_bucket,
    round(avg(vega_f), 3)  AS avg_vega,
    round(avg(delta_f), 3) AS avg_delta,
    count()                AS contracts
FROM
(
    SELECT
        toFloat64(vega)  AS vega_f,
        toFloat64(delta) AS delta_f,
        days_to_expiry,
        multiIf(days_to_expiry <= 1,  'under 2 days',
                days_to_expiry <= 3,  '2 to 3 days',
                days_to_expiry <= 7,  '4 to 7 days',
                days_to_expiry <= 14, '8 to 14 days',
                days_to_expiry <= 30, '15 to 30 days',
                                      '31 to 60 days') AS dte_bucket
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'AAPL'
      AND date >= today() - 120
      AND iv_converged = 1
      AND volume > 0
      AND delta > 0
      AND days_to_expiry BETWEEN 0 AND 60
      AND toFloat64(underlying_close) / toFloat64(strike_price) - 1 BETWEEN 0.01 AND 0.05
)
GROUP BY dte_bucket
ORDER BY min(days_to_expiry)

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