STRASMORE/EXPLORE 2,595 QUERIES

roll_credit

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.

as of ranking 6×3read in context →
roll_credit — 6 rows by 3 columns, computed from US exchange, SIP and OPRA data.
strike_distanceput_creditput_delta
0% below spot3.710.411
1% below spot2.220.255
2% below spot1.170.133
3% below spot0.650.074
4% below spot0.380.043
5% below spot0.240.027
Rows × columns
6 × 3
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for roll_credit, derived from the stored result.
ColumnTypeRangeNotes
strike_distance text 6 distinct values
put_credit number 0.24 to 3.71
put_delta number 0.027 to 0.411

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(toString(gap_pct), '% below spot')  AS strike_distance,
    round(avg(toFloat64(option_close)), 2)     AS put_credit,
    round(avg(abs(delta)), 3)                  AS put_delta
FROM
(
    SELECT
        toInt32(round((1 - toFloat64(strike_price) / toFloat64(underlying_close)) * 100)) AS gap_pct,
        option_close,
        delta
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= today() - 120
      AND iv_converged = 1
      AND volume > 0
      AND lower(option_type) LIKE 'p%'
      AND days_to_expiry BETWEEN 2 AND 9
      AND toFloat64(strike_price) < toFloat64(underlying_close)
      AND (1 - toFloat64(strike_price) / toFloat64(underlying_close)) < 0.055
)
WHERE gap_pct BETWEEN 0 AND 5
GROUP BY gap_pct
ORDER BY gap_pct
⌘/Ctrl + Enter

ఈ డేటాతో మీ AI అసిస్టెంట్‌లో పని చేయండి

ఈ పేజీ డేటాతో, క్వెరీకి సిద్ధంగా తెరుచుకుంటుంది. ఉచితం, ఖాతా అవసరం లేదు.

Claude ChatGPT Gemini Muse మీ సొంత ఏజెంట్