{"slug":"when-to-adjust-a-short-straddle","qid":"delta_curve","label":"delta_curve","post_title":"when-to-adjust-a-short-straddle","post_url":"/blog/lang/te/when-to-adjust-a-short-straddle#q-delta_curve","columns":["strike_vs_spot","call_delta","put_delta","short_straddle_delta"],"rows":[{"strike_vs_spot":"-4%","call_delta":0.893,"put_delta":-0.043,"short_straddle_delta":-0.85},{"strike_vs_spot":"-3%","call_delta":0.878,"put_delta":-0.074,"short_straddle_delta":-0.804},{"strike_vs_spot":"-2%","call_delta":0.839,"put_delta":-0.133,"short_straddle_delta":-0.706},{"strike_vs_spot":"-1%","call_delta":0.744,"put_delta":-0.255,"short_straddle_delta":-0.49},{"strike_vs_spot":"+0%","call_delta":0.517,"put_delta":-0.484,"short_straddle_delta":-0.034},{"strike_vs_spot":"+1%","call_delta":0.235,"put_delta":-0.734,"short_straddle_delta":0.499},{"strike_vs_spot":"+2%","call_delta":0.073,"put_delta":-0.829,"short_straddle_delta":0.757},{"strike_vs_spot":"+3%","call_delta":0.02,"put_delta":-0.86,"short_straddle_delta":0.839},{"strike_vs_spot":"+4%","call_delta":0.008,"put_delta":-0.886,"short_straddle_delta":0.877}],"shape":"ranking","sql":"SELECT\n    concat(if(bucket >= 0, '+', ''), toString(bucket), '%')      AS strike_vs_spot,\n    round(avgIf(delta, opt LIKE 'c%'), 3)                        AS call_delta,\n    round(avgIf(delta, opt LIKE 'p%'), 3)                        AS put_delta,\n    round(-1 * (avgIf(delta, opt LIKE 'c%')\n                + avgIf(delta, opt LIKE 'p%')), 3)               AS short_straddle_delta\nFROM\n(\n    SELECT\n        lower(option_type)                                                                AS opt,\n        delta,\n        toInt32(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 100)) AS bucket\n    FROM global_markets.options_greeks\n    WHERE underlying_symbol = 'SPY'\n      AND date >= today() - 120\n      AND iv_converged = 1\n      AND volume > 0\n      AND days_to_expiry BETWEEN 2 AND 9\n      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.045\n)\nGROUP BY bucket\nHAVING countIf(opt LIKE 'c%') > 0 AND countIf(opt LIKE 'p%') > 0\nORDER BY bucket","computed_at":"2026-09-25T15:20:49.457988+00:00","elapsed":0.249400228}