2,358 answered market questions

SELECT
    concat(if(half_pct > 0, '+', ''), toString(half_pct / 2), '%')  AS moneyness,
    round(avgIf(gma * spot / 100, dte <= 1), 3)                      AS next_day_delta_shift,
    round(avgIf(gma * spot / 100, dte BETWEEN 21 AND 45), 3)         AS month_out_delta_shift
FROM
(
    SELECT
        toInt32(round((toFloat64(strike_price) / toFloat64(underlying_close) - 1) * 200)) AS half_pct,
        days_to_expiry                                                                     AS dte,
        toFloat64(gamma)                                                                   AS gma,
        toFloat64(underlying_close)                                                        AS spot
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date >= toDate('2026-06-01')
      AND date <  toDate('2026-07-01')
      AND ((days_to_expiry > 0 AND days_to_expiry <= 1) OR days_to_expiry BETWEEN 21 AND 45)
      AND iv_converged = 1
      AND volume > 0
      AND option_close > 0
      AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.0225
      AND ((lower(toString(option_type)) IN ('call', 'c') AND strike_price >= underlying_close)
        OR (lower(toString(option_type)) IN ('put', 'p')  AND strike_price <  underlying_close))
)
GROUP BY half_pct
HAVING countIf(dte <= 1) > 0 AND countIf(dte BETWEEN 21 AND 45) > 0
ORDER BY half_pct