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Where the Newton step misbehaves: AAPL vega by strike zone, June 30, 2026

most recentas of 2026-08-25 ranking 6×3read in context →

Where the Newton step misbehaves: AAPL vega by strike zone, June 30, 2026 — 6 rows by 3 columns, computed 2026-08-25 from US exchange, SIP and OPRA data.
strike_vs_spot	vega_pct_of_atm	contract_count
0.80-0.90	33.1	24
0.90-0.95	62.4	10
0.95-1.00	89.8	18
1.00-1.05	98.5	18
1.05-1.10	73.6	16
1.10-1.20	31.6	20

the exact SQL behind every number

WITH toFloat64(strike_price) / toFloat64(underlying_close) AS moneyness,
     (
         SELECT avg(toFloat64(vega))
         FROM global_markets.options_greeks
         WHERE underlying_symbol = 'AAPL'
           AND date = toDate('2026-06-30')
           AND days_to_expiry BETWEEN 20 AND 45
           AND iv_converged = 1
           AND volume > 0
           AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.025
     ) AS atm_vega
SELECT multiIf(moneyness < 0.90, '0.80-0.90',
               moneyness < 0.95, '0.90-0.95',
               moneyness < 1.00, '0.95-1.00',
               moneyness < 1.05, '1.00-1.05',
               moneyness < 1.10, '1.05-1.10',
                                 '1.10-1.20') AS strike_vs_spot,
       round(100 * avg(toFloat64(vega)) / atm_vega, 1) AS vega_pct_of_atm,
       count() AS contract_count
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AAPL'
  AND date = toDate('2026-06-30')
  AND days_to_expiry BETWEEN 20 AND 45
  AND iv_converged = 1
  AND volume > 0
  AND moneyness BETWEEN 0.80 AND 1.20
GROUP BY strike_vs_spot
ORDER BY min(moneyness)

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