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MSFT straddle prices at the close before the gap: Jan 28, 2026, Jan 30 expiry

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 2026-07-26, from Why Do Stocks Gap Up or Down Overnight?.

as of table 4×5read in context →
MSFT straddle prices at the close before the gap: Jan 28, 2026, Jan 30 expiry — 4 rows by 5 columns, computed from US exchange, SIP and OPRA data.
strike_pricecall_midput_midstraddle_costimplied_move_pct
$477.515.210.6725.875.37
$48013.811.9525.755.35
$482.512.6213.0725.695.33
$48511.4714.4225.895.37
Rows × columns
4 × 5
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 MSFT straddle prices at the close before the gap: Jan 28, 2026, Jan 30 expiry, derived from the stored result.
ColumnTypeRangeNotes
strike_price text 4 distinct values ($477.5, $480, $482.5…)
call_mid number 11.47 to 15.2
put_mid number 10.67 to 14.42
straddle_cost number 25.69 to 25.89
implied_move_pct number 5.33 to 5.37 percent

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.

the exact SQL behind every number 
WITH prior AS (
    SELECT round(argMax(toFloat64(close), window_start), 2) AS prior_close
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'MSFT'
      AND window_start >= toDateTime('2026-01-28 09:30:00', 'America/New_York')
      AND window_start < toDateTime('2026-01-28 16:00:00', 'America/New_York')
),
quotes AS (
    SELECT toFloat64(substring(ticker, 14, 8)) / 1000 AS strike,
           substring(ticker, 13, 1) AS cp,
           round(argMax((bid_price + ask_price) / 2, sip_timestamp), 2) AS mid
    FROM global_markets.cache_options_quotes
    WHERE ticker LIKE 'O:MSFT260130%'
      AND sip_timestamp >= toDateTime('2026-01-28 15:45:00', 'America/New_York')
      AND sip_timestamp < toDateTime('2026-01-28 16:00:00', 'America/New_York')
      AND bid_price > 0
      AND ask_price > 0
    GROUP BY ticker
)
SELECT concat('$', toString(strike)) AS strike_price,
       maxIf(mid, cp = 'C') AS call_mid,
       maxIf(mid, cp = 'P') AS put_mid,
       round(maxIf(mid, cp = 'C') + maxIf(mid, cp = 'P'), 2) AS straddle_cost,
       round(100 * (maxIf(mid, cp = 'C') + maxIf(mid, cp = 'P')) / (SELECT prior_close FROM prior), 2) AS implied_move_pct
FROM quotes
WHERE abs(strike - (SELECT prior_close FROM prior)) <= 5
GROUP BY strike
HAVING countIf(cp = 'C') > 0 AND countIf(cp = 'P') > 0
ORDER BY strike

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