Share of contract volume by days to expiry, SPX and SPY
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 2026-08-22, from Why Index Options Are Taxed 60/40: Section 1256.
| dte_bucket | spx_share_pct | spy_share_pct |
|---|---|---|
| 1 to 7 days | -nan | 64.8 |
| 8 to 30 days | -nan | 19.8 |
| 31 to 90 days | -nan | 10.3 |
| 91 to 365 days | -nan | 4.3 |
| over 1 year | -nan | 0.8 |
- Rows × columns
- 5 × 3
- 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 |
|---|---|---|---|
dte_bucket |
text | 5 distinct values (1 to 7 days, 31 to 90 days, 8 to 30 days…) | |
spx_share_pct |
text | 1 distinct value (-nan) | |
spy_share_pct |
number | 0.8 to 64.8 | 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 flow AS
(
SELECT
replaceOne(underlying_symbol, 'I:', '') AS sym,
days_to_expiry AS dte,
volume AS vol
FROM global_markets.options_greeks
WHERE date >= today() - 90
AND sym IN ('SPX', 'SPY')
AND volume > 0
AND days_to_expiry >= 0
),
totals AS
(
SELECT
sumIf(vol, sym = 'SPX') AS spx_all,
sumIf(vol, sym = 'SPY') AS spy_all
FROM flow
)
SELECT
multiIf(dte = 0, '0 (same session)',
dte <= 7, '1 to 7 days',
dte <= 30, '8 to 30 days',
dte <= 90, '31 to 90 days',
dte <= 365, '91 to 365 days',
'over 1 year') AS dte_bucket,
round(100 * sumIf(vol, sym = 'SPX') / any(spx_all), 1) AS spx_share_pct,
round(100 * sumIf(vol, sym = 'SPY') / any(spy_all), 1) AS spy_share_pct
FROM flow
CROSS JOIN totals
GROUP BY dte_bucket
ORDER BY min(dte)
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