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Time value left in AAPL contracts by depth in the money

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 table 5×5read in context →
Time value left in AAPL contracts by depth in the money — 5 rows by 5 columns, computed from US exchange, SIP and OPRA data.
itm_depthcall_avg_vegaput_avg_vegacall_contractsput_contracts
under 1%0.2070.208692650
1 to 3%0.1850.19112211146
3 to 5%0.1530.162965868
5 to 10%0.1160.131603889
over 10%0.0710.1012407321
Rows × columns
5 × 5
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 Time value left in AAPL contracts by depth in the money, derived from the stored result.
ColumnTypeRangeNotes
itm_depth text 5 distinct values (1 to 3%, 3 to 5%, 5 to 10%…)
call_avg_vega number 0.071 to 0.207
put_avg_vega number 0.101 to 0.208
call_contracts number 692 to 2,407 count
put_contracts number 321 to 1,146 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
    depth_bucket                            AS itm_depth,
    round(avgIf(vega_f, side = 'call'), 3)  AS call_avg_vega,
    round(avgIf(vega_f, side = 'put'), 3)   AS put_avg_vega,
    countIf(side = 'call')                  AS call_contracts,
    countIf(side = 'put')                   AS put_contracts
FROM
(
    SELECT
        if(delta > 0, 'call', 'put') AS side,
        toFloat64(vega)              AS vega_f,
        if(delta > 0,
           toFloat64(underlying_close) / toFloat64(strike_price) - 1,
           toFloat64(strike_price) / toFloat64(underlying_close) - 1) AS depth,
        multiIf(depth < 0.01, 'under 1%',
                depth < 0.03, '1 to 3%',
                depth < 0.05, '3 to 5%',
                depth < 0.10, '5 to 10%',
                              'over 10%') AS depth_bucket
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'AAPL'
      AND date >= today() - 120
      AND iv_converged = 1
      AND volume > 0
      AND days_to_expiry BETWEEN 3 AND 30
      AND toFloat64(underlying_close) > 0
      AND toFloat64(strike_price) > 0
      AND toFloat64(delta) != 0
      AND depth > 0
)
GROUP BY depth_bucket
HAVING countIf(side = 'call') > 0 AND countIf(side = 'put') > 0
ORDER BY min(depth)

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