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 2026-09-20, from When Short Options Get Assigned Early.
| itm_depth | call_avg_vega | put_avg_vega | call_contracts | put_contracts |
|---|---|---|---|---|
| under 1% | 0.213 | 0.213 | 702 | 647 |
| 1 to 3% | 0.19 | 0.197 | 1180 | 1140 |
| 3 to 5% | 0.159 | 0.166 | 989 | 905 |
| 5 to 10% | 0.121 | 0.132 | 1612 | 922 |
| over 10% | 0.072 | 0.104 | 2582 | 325 |
- Rows × columns
- 5 × 5
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
itm_depth |
text | 5 distinct values (1 to 3%, 3 to 5%, 5 to 10%…) | |
call_avg_vega |
number | 0.072 to 0.213 | |
put_avg_vega |
number | 0.104 to 0.213 | |
call_contracts |
number | 702 to 2,582 | count |
put_contracts |
number | 325 to 1,140 | 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.
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.
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)