2,170 answered market questions

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