delta_curve
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 2026-09-25, from when-to-adjust-a-short-straddle.
| strike_vs_spot | call_delta | put_delta | short_straddle_delta |
|---|---|---|---|
| -4% | 0.893 | -0.043 | -0.85 |
| -3% | 0.878 | -0.074 | -0.804 |
| -2% | 0.839 | -0.133 | -0.706 |
| -1% | 0.744 | -0.255 | -0.49 |
| +0% | 0.517 | -0.484 | -0.034 |
| +1% | 0.235 | -0.734 | 0.499 |
| +2% | 0.073 | -0.829 | 0.757 |
| +3% | 0.02 | -0.86 | 0.839 |
| +4% | 0.008 | -0.886 | 0.877 |
- Rows × columns
- 9 × 4
- 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 |
|---|---|---|---|
strike_vs_spot |
text | 9 distinct values (+0%, +1%, +2%…) | |
call_delta |
number | 0.008 to 0.893 | |
put_delta |
number | -0.886 to -0.043 | |
short_straddle_delta |
number | -0.85 to 0.877 |
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
concat(if(bucket >= 0, '+', ''), toString(bucket), '%') AS strike_vs_spot,
round(avgIf(delta, opt LIKE 'c%'), 3) AS call_delta,
round(avgIf(delta, opt LIKE 'p%'), 3) AS put_delta,
round(-1 * (avgIf(delta, opt LIKE 'c%')
+ avgIf(delta, opt LIKE 'p%')), 3) AS short_straddle_delta
FROM
(
SELECT
lower(option_type) AS opt,
delta,
toInt32(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 100)) AS bucket
FROM global_markets.options_greeks
WHERE underlying_symbol = 'SPY'
AND date >= today() - 120
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 2 AND 9
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.045
)
GROUP BY bucket
HAVING countIf(opt LIKE 'c%') > 0 AND countIf(opt LIKE 'p%') > 0
ORDER BY bucket
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