{"slug":"when-special-dividends-adjust-options","qid":"time_value_curve","label":"Time value left in KO calls as they move deeper in the money","post_title":"When Special Dividends Adjust Options","post_url":"/blog/when-special-dividends-adjust-options#q-time_value_curve","columns":["moneyness_bucket","contracts","avg_time_value_usd","avg_delta"],"rows":[{"moneyness_bucket":"Out of the money","contracts":8872,"avg_time_value_usd":0.37,"avg_delta":0.18},{"moneyness_bucket":"0% to 2% in","contracts":1688,"avg_time_value_usd":1.03,"avg_delta":0.63},{"moneyness_bucket":"2% to 5% in","contracts":1810,"avg_time_value_usd":0.65,"avg_delta":0.79},{"moneyness_bucket":"5% to 10% in","contracts":1200,"avg_time_value_usd":0.47,"avg_delta":0.88},{"moneyness_bucket":"10% or more in","contracts":1209,"avg_time_value_usd":0.46,"avg_delta":0.93}],"shape":"ranking","sql":"SELECT\n    multiIf(moneyness < 0,    'Out of the money',\n            moneyness < 0.02, '0% to 2% in',\n            moneyness < 0.05, '2% to 5% in',\n            moneyness < 0.10, '5% to 10% in',\n                              '10% or more in')  AS moneyness_bucket,\n    count()                                      AS contracts,\n    round(avg(time_value), 2)                    AS avg_time_value_usd,\n    round(avg(delta), 2)                         AS avg_delta\nFROM\n(\n    SELECT\n        toFloat64(underlying_close) / toFloat64(strike_price) - 1  AS moneyness,\n        toFloat64(option_close)\n            - greatest(toFloat64(underlying_close)\n                       - toFloat64(strike_price), 0)               AS time_value,\n        delta                                                      AS delta\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'KO'\n      AND delta > 0\n      AND iv_converged = 1\n      AND volume > 0\n      AND strike_price > 0\n      AND days_to_expiry BETWEEN 5 AND 35\n      AND date >= today() - 400\n      AND date <  today() - 3\n)\nGROUP BY moneyness_bucket\nORDER BY min(moneyness) ASC","computed_at":"2026-08-22T04:36:06.524440+00:00","elapsed":0.858541474}