25-delta — 4 answered market questions

The two legs closest to 25 delta, and what they net to

most recentas of 2026-11-01 table 3×6read in context →

The two legs closest to 25 delta, and what they net to — 3 rows by 6 columns, computed 2026-11-01 from US exchange, SIP and OPRA data.
component	strike	delta	iv_pct	premium_per_share	stock_close
short put (premium received)	$310	-0.268	31.69	5.25	$326
long call (premium paid)	$347.5	0.267	30.63	4.6	$326
net credit		0.535	1.07	0.65	$326

the exact SQL behind every number

SELECT
    multiIf(ord = 1, 'short put (premium received)',
            ord = 2, 'long call (premium paid)',
            net >= 0, 'net credit', 'net debit')                                        AS component,
    multiIf(ord = 1, concat('$', toString(put_strike)),
            ord = 2, concat('$', toString(call_strike)), '')                            AS strike,
    round(multiIf(ord = 1, put_delta, ord = 2, call_delta, call_delta - put_delta), 3) AS delta,
    round(100 * multiIf(ord = 1, put_iv, ord = 2, call_iv, put_iv - call_iv), 2)      AS iv_pct,
    round(multiIf(ord = 1, put_premium, ord = 2, call_premium, abs(net)), 2)          AS premium_per_share,
    concat('$', toString(round(spot, 2)))                                             AS stock_close
FROM
(
    SELECT
        arrayJoin([1, 2, 3])          AS ord,
        put_strike, put_delta, put_iv, put_premium,
        call_strike, call_delta, call_iv, call_premium,
        put_premium - call_premium    AS net,
        spot
    FROM
    (
        SELECT
            anyIf(strike, side = 'put')     AS put_strike,
            anyIf(delta, side = 'put')      AS put_delta,
            anyIf(iv, side = 'put')         AS put_iv,
            anyIf(premium, side = 'put')    AS put_premium,
            anyIf(strike, side = 'call')    AS call_strike,
            anyIf(delta, side = 'call')     AS call_delta,
            anyIf(iv, side = 'call')        AS call_iv,
            anyIf(premium, side = 'call')   AS call_premium,
            any(spot)                       AS spot
        FROM
        (
            SELECT
                if(delta < 0, 'put', 'call')   AS side,
                toFloat64(strike_price)        AS strike,
                delta,
                implied_volatility             AS iv,
                toFloat64(option_close)        AS premium,
                toFloat64(underlying_close)    AS spot
            FROM global_markets.options_greeks
            WHERE underlying_symbol = 'AAPL'
              AND date = '2026-07-20'
              AND expiration_date = '2026-08-21'
              AND iv_converged = 1
              AND volume > 0
            ORDER BY abs(abs(delta) - 0.25)
            LIMIT 1 BY side
        )
    )
)
ORDER BY ord

More from this analysisRisk Reversal Options: Sell a Put, Buy a Call

AAPL out-of-the-money strip for the Aug 21, 2026 expiration, priced at the Jul 20, 2026 close table 28×5 → Payoff per share at expiration across AAPL prices, against owning the shares table 11×5 → The 25-delta risk reversal for SPY, AAPL and TSLA, nearest-to-30-day expiration, latest session table 3×6 → The 25-delta wing spread on SPY, month by month series 24×4 → See all 3,293 queries →