{"slug":"when-to-adjust-a-short-straddle","qid":"roll_credit","label":"roll_credit","post_title":"when-to-adjust-a-short-straddle","post_url":"/blog/lang/te/when-to-adjust-a-short-straddle#q-roll_credit","columns":["strike_distance","put_credit","put_delta"],"rows":[{"strike_distance":"0% below spot","put_credit":3.71,"put_delta":0.411},{"strike_distance":"1% below spot","put_credit":2.22,"put_delta":0.255},{"strike_distance":"2% below spot","put_credit":1.17,"put_delta":0.133},{"strike_distance":"3% below spot","put_credit":0.65,"put_delta":0.074},{"strike_distance":"4% below spot","put_credit":0.38,"put_delta":0.043},{"strike_distance":"5% below spot","put_credit":0.24,"put_delta":0.027}],"shape":"ranking","sql":"SELECT\n    concat(toString(gap_pct), '% below spot')  AS strike_distance,\n    round(avg(toFloat64(option_close)), 2)     AS put_credit,\n    round(avg(abs(delta)), 3)                  AS put_delta\nFROM\n(\n    SELECT\n        toInt32(round((1 - toFloat64(strike_price) / toFloat64(underlying_close)) * 100)) AS gap_pct,\n        option_close,\n        delta\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 lower(option_type) LIKE 'p%'\n      AND days_to_expiry BETWEEN 2 AND 9\n      AND toFloat64(strike_price) < toFloat64(underlying_close)\n      AND (1 - toFloat64(strike_price) / toFloat64(underlying_close)) < 0.055\n)\nWHERE gap_pct BETWEEN 0 AND 5\nGROUP BY gap_pct\nORDER BY gap_pct","computed_at":"2026-09-25T15:20:49.831437+00:00","elapsed":0.278839856}