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Collar Option Greeks as the Stock Moves
Net collar gamma at 90, 30 and 7 days to expiryranking · 2026-08-18 · 5×4Preview: 5 ranked values, largest first. Net collar gamma, theta and vega across the price rangeranking · 2026-08-18 · 5×4Preview: 5 ranked values, largest first. Collar delta at five stock prices, 30 days to expirytable · 2026-08-18 · 5×5 AAPL implied volatility by strike distance, downside puts vs upside calls (May to July 2026)ranking · 2026-08-18 · 6×4Preview: 6 ranked values, smallest first.
The Options Collar: A Cheap Hedge
SPY through the June 2026 selloff, boxed by the collar's $740 floor and $760 capseries · 2026-07-16 · 8×4Preview: a 8-point series, roughly flat. The $740 put's delta deepening as it took over the downsideseries · 2026-07-16 · 8×2Preview: a 8-point series, roughly flat. The two collar legs: the $740 put (floor) and the $760 call (cap)series · 2026-07-16 · 8×3Preview: a 8-point series, ending lower.
Net collar gamma at 90, 30 and 7 days to expiry

Net collar gamma at 90, 30 and 7 days to expiry

most recentas of ranking 5×4read in context →
Net collar gamma at 90, 30 and 7 days to expiry — 5 rows by 4 columns, computed from US exchange, SIP and OPRA data.
spot_pricegamma_90dgamma_30dgamma_7d
$853.015.053.7
$902.336.0112.79
$100-0.67-0.88-0.19
$110-2.27-4.96-10.47
$118-1.94-2.68-1.15
the exact SQL behind every number 
SELECT
    spot_price,
    round(maxIf(net_gamma, days_out = 90), 2) AS gamma_90d,
    round(maxIf(net_gamma, days_out = 30), 2) AS gamma_30d,
    round(maxIf(net_gamma, days_out = 7),  2) AS gamma_7d
FROM
(
    WITH
        100.0 AS contract_multiplier,
        90.0  AS put_strike,
        110.0 AS call_strike,
        0.25  AS vol,
        0.04  AS rate
    SELECT
        spot,
        days_out,
        concat('$', toString(toUInt16(spot)))                                              AS spot_price,
        days_out / 365.0                                                                   AS years,
        (log(spot / put_strike)  + (rate + 0.5 * vol * vol) * years) / (vol * sqrt(years)) AS d1_put,
        (log(spot / call_strike) + (rate + 0.5 * vol * vol) * years) / (vol * sqrt(years)) AS d1_call,
        exp(-0.5 * d1_put  * d1_put)  / sqrt(2 * pi())                                     AS pdf_put,
        exp(-0.5 * d1_call * d1_call) / sqrt(2 * pi())                                     AS pdf_call,
        contract_multiplier * (pdf_put - pdf_call) / (spot * vol * sqrt(years))            AS net_gamma
    FROM
    (
        SELECT
            spot,
            arrayJoin([7, 30, 90]) AS days_out
        FROM
        (
            SELECT arrayJoin([85.0, 90.0, 100.0, 110.0, 118.0]) AS spot
        )
    )
)
GROUP BY spot, spot_price
ORDER BY spot
More from this analysisCollar Option Greeks as the Stock Moves
AAPL implied volatility by strike distance, downside puts vs upside calls (May to July 2026) ranking 6×4 → Net collar gamma, theta and vega across the price range ranking 5×4 → Collar delta at five stock prices, 30 days to expiry table 5×5 → One SPY $740 call's price over its 7-week life (expired Jun 18 2026) series 31×2 → See all 2,173 queries →
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