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When Special Dividends Adjust Options
Time value left in KO calls as they move deeper in the moneyranking · 2026-08-22 · 5×4Preview: 5 ranked values, largest first. One time distributions by size, measured against the ex date closing priceranking · 2026-08-22 · 6×3Preview: 6 ranked values, largest first. How big each kind of cash distribution is, as a share of the stock priceranking · 2026-08-22 · 5×4Preview: 5 ranked values, largest first. One time cash distributions per calendar year, and their share of all payoutsranking · 2026-08-22 · 9×3Preview: 9 ranked values, largest first.
Time value left in KO calls as they move deeper in the money

Time value left in KO calls as they move deeper in the money

most recentas of ranking 5×4read in context →
Time value left in KO calls as they move deeper in the money — 5 rows by 4 columns, computed from US exchange, SIP and OPRA data.
moneyness_bucketcontractsavg_time_value_usdavg_delta
Out of the money88720.370.18
0% to 2% in16881.030.63
2% to 5% in18100.650.79
5% to 10% in12000.470.88
10% or more in12090.460.93
the exact SQL behind every number 
SELECT
    multiIf(moneyness < 0,    'Out of the money',
            moneyness < 0.02, '0% to 2% in',
            moneyness < 0.05, '2% to 5% in',
            moneyness < 0.10, '5% to 10% in',
                              '10% or more in')  AS moneyness_bucket,
    count()                                      AS contracts,
    round(avg(time_value), 2)                    AS avg_time_value_usd,
    round(avg(delta), 2)                         AS avg_delta
FROM
(
    SELECT
        toFloat64(underlying_close) / toFloat64(strike_price) - 1  AS moneyness,
        toFloat64(option_close)
            - greatest(toFloat64(underlying_close)
                       - toFloat64(strike_price), 0)               AS time_value,
        delta                                                      AS delta
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'KO'
      AND delta > 0
      AND iv_converged = 1
      AND volume > 0
      AND strike_price > 0
      AND days_to_expiry BETWEEN 5 AND 35
      AND date >= today() - 400
      AND date <  today() - 3
)
GROUP BY moneyness_bucket
ORDER BY min(moneyness) ASC
More from this analysisWhen Special Dividends Adjust Options
One time cash distributions per calendar year, and their share of all payouts ranking 9×3 → One time distributions by size, measured against the ex date closing price ranking 6×3 → How big each kind of cash distribution is, as a share of the stock price ranking 5×4 → Near-the-money implied volatility into a cash close (ATVI, 2023) series 83×4 → See all 2,170 queries →
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