2,309 answered market questions

WITH chain AS (
    SELECT strike_price,
           toFloat64(any(underlying_close)) AS spot,
           avgIf(delta, delta > 0) AS call_delta,
           avgIf(-delta, delta < 0) AS put_delta_abs,
           countIf(delta > 0) AS calls,
           countIf(delta < 0) AS puts
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date = toDate('2026-06-30')
      AND expiration_date = toDate('2026-07-31')
      AND iv_converged = 1
      AND volume > 0
    GROUP BY strike_price
    HAVING calls > 0 AND puts > 0
),
banded AS (
    SELECT toInt32(round(100 * (toFloat64(strike_price) / spot - 1) / 2) * 2) AS band,
           call_delta,
           put_delta_abs
    FROM chain
)
SELECT concat(if(band > 0, '+', ''), toString(band), '% vs spot') AS strike_vs_spot,
       round(100 * avg(call_delta), 1) AS yes_prob_pct,
       round(100 * avg(put_delta_abs), 1) AS no_prob_pct,
       round(100 * avg(call_delta + put_delta_abs), 1) AS pair_total_pct,
       count() AS strikes
FROM banded
WHERE abs(band) <= 8
GROUP BY band
ORDER BY band